Stochastic Optimization in Continuous Time~ Fwu-Ranq Chang





Review"Chang discusses various solution techniques, including the inverse optimum methodology." - University of Chicago Magazine

"The manner of fixing the dialectical relation between information set (a common term to the economists) and $\sigma $ algebra (a theoretical mathematical concept) is remarkable.... The book is well written and should prove useful in graduate courses for economists and also in courses for other professionals who are willing to go into the mathematics of economic models." - Zentralblatt MATH

Product DescriptionMost of the current books on stochastic control theory are written for students in mathematics or finance. This introduction is designed, however, for those interested in the relevance and applications of the theory's mathematical principles to economics. Therefore, mathematical methods are discussed intuitively and illustrated with economic examples. More importantly, mathematical concepts are introduced in language and terminology familiar to graduate students in economics.

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Product Details Hardcover: 344 pages Publisher: Cambridge University Press (April 26, 2004) Language: English ISBN-10: 0521834066 ISBN-13: 978-0521834063