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Stochastic Optimization in Continuous Time. 連続時間における確率的最適化
・ISBN 978-0-521-83406-3 2004 hard GB£ 59.00
￥18,691.- (税込) ※（※）価格はご注文時の参考価格となります。
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・ISBN 978-0-521-54194-7 2009 paper on demand GB£ 44.00
￥13,939.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
お気に入り
★★★
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-0-511-61674-7
| 著者・編者 | Chang, Fwu-Rang, |
|---|---|
| 出版社 | (Cambridge U. Pr., UK) |
| ページ数 | 326 pp. |
| 言語 | ENG |
| ニュース番号 | ＜505-205 512-236＞ |
解説
First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the book is that mathematical concepts are introduced in a language and terminology familiar to graduate students of economics. The standard topics of many mathematics, economics and finance books are illustrated with real examples documented in the economic literature. Moreover, the book emphasises the dos and don'ts of stochastic calculus, cautioning the reader that certain results and intuitions cherished by many economists do not extend to stochastic models. A special chapter (Chapter 5) is devoted to exploring various methods of finding a closed-form representation of the value function of a stochastic control problem, which is essential for ascertaining the optimal policy functions. The book also includes many practice exercises for the reader. Notes and suggested readings are provided at the end of each chapter for more references and possible extensions.