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| 001 | 000045164795 | |
| 005 | 20050506133108 | |
| 008 | 030812s2004 enka b 001 0 eng | |
| 010 | ▼a 2003061745 | |
| 020 | ▼a 0521834066 | |
| 035 | ▼a KRIC09582987 | |
| 040 | ▼a DLC ▼c DLC ▼d DLC ▼d 211029 ▼d 211009 | |
| 050 | 0 0 | ▼a HB135 ▼b .C444 2004 |
| 082 | 0 0 | ▼a 330/.01/51923 ▼2 22 |
| 090 | ▼a 330.0151923 ▼b C456s | |
| 100 | 1 | ▼a Chang, Fwu-Ranq , ▼d 1947-. |
| 245 | 1 0 | ▼a Stochastic optimization in continuous time / ▼c Fwu-Ranq Chang. |
| 260 | ▼a Cambridge, UK : ▼b Cambridge University Press , ▼c 2004. | |
| 300 | ▼a xvi, 326 p. : ▼b ill. ; ▼c 24 cm. | |
| 504 | ▼a Includes bibliographical references and index. | |
| 650 | 0 | ▼a Economics ▼x Mathematical models. |
| 650 | 0 | ▼a Stochastic control theory. |
Holdings Information
| No. | Location | Call Number | Accession No. | Availability | Due Date | Make a Reservation | Service |
|---|---|---|---|---|---|---|---|
| No. 1 | Location Main Library/Western Books/ | Call Number 330.0151923 C456s | Accession No. 111318297 (16회 대출) | Availability Available | Due Date | Make a Reservation | Service |
| No. 2 | Location Sejong Academic Information Center/Social Science/ | Call Number 330.0151923 C456s | Accession No. 151197684 | Availability Loan can not(reference room) | Due Date | Make a Reservation | Service |
| No. | Location | Call Number | Accession No. | Availability | Due Date | Make a Reservation | Service |
|---|---|---|---|---|---|---|---|
| No. 1 | Location Main Library/Western Books/ | Call Number 330.0151923 C456s | Accession No. 111318297 (16회 대출) | Availability Available | Due Date | Make a Reservation | Service |
| No. | Location | Call Number | Accession No. | Availability | Due Date | Make a Reservation | Service |
|---|---|---|---|---|---|---|---|
| No. 1 | Location Sejong Academic Information Center/Social Science/ | Call Number 330.0151923 C456s | Accession No. 151197684 | Availability Loan can not(reference room) | Due Date | Make a Reservation | Service |
Contents information
Book Introduction
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.
This is an introduction to stochastic control theory with applications to economics, first published in 2004.
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Table of Contents
List of figures; Preface; 1. Probability theory; 2. Wiener processes; 3. Stochastic calculus; 4. Stochastic dynamic programming; 5. How to solve it; 6. Boundaries and absorbing barriers; Appendix. Miscellaneous applications and exercises; Bibliography; Index.
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