Stochastic Optimization in Continuous Time
Editorial Reviews
Review
'Written by an expert on stochastic calculus and optimization and a gifted writer and economist, this graduate-level textbook provides a rigorous yet highly readable and intuitive introduction to stochastic calculus and optimization with major applications in economics. I most highly recommend Stochastic Optimization in Continuous Time to the serious student and practitioner of economics and finance.' George M. Constantinides, University of Chicago
'This immediately becomes the definitive rigorous monograph for economists that is devoted to optimization in dynamic settings under uncertainty. By beginning with a careful introduction to the mathematical foundations, and then turning to a tasteful modern blend of applications from across economics, including finance monetary theory, and production, Chang has done a great service by lowering the costs of entry for doctoral students and researchers. The accessible treatments of stochastic integration and stochastic control will be especially well appreciated.' Darrell Duffie, Stanford University
'Mathematically rigorous, yet full of economic intuitions. A 'must read' for students and researchers interested in dynamic economic models.' Chi-Fu Huang, Oak Hill Platinum Partners, L.L.C.
Book Description
Most 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.
Stochastic Optimization in Continuous Time,Fwu-Ranq Chang,Cambridge University Press,0521834066,Business & Economics,Business / Economics / Finance,Business/Economics,Economics,Economics - Microeconomics,Economics - Theory,Mathematical models,Stochastic control theory,Business & Economics / Economics / General,Econometrics
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