Dynamic Optimization, Second Edition
Title | Dynamic Optimization, Second Edition PDF eBook |
Author | Morton I. Kamien |
Publisher | Courier Corporation |
Pages | 402 |
Release | 2013-04-17 |
Genre | Mathematics |
ISBN | 0486310280 |
Since its initial publication, this text has defined courses in dynamic optimization taught to economics and management science students. The two-part treatment covers the calculus of variations and optimal control. 1998 edition.
Continuous-time Stochastic Control and Optimization with Financial Applications
Title | Continuous-time Stochastic Control and Optimization with Financial Applications PDF eBook |
Author | Huyên Pham |
Publisher | Springer Science & Business Media |
Pages | 243 |
Release | 2009-05-28 |
Genre | Mathematics |
ISBN | 3540895000 |
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
Stochastic Optimization in Continuous Time
Title | Stochastic Optimization in Continuous Time PDF eBook |
Author | Fwu-Ranq Chang |
Publisher | Cambridge University Press |
Pages | 346 |
Release | 2004-04-26 |
Genre | Business & Economics |
ISBN | 1139452223 |
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.
Principles of Dynamic Optimization
Title | Principles of Dynamic Optimization PDF eBook |
Author | Piernicola Bettiol |
Publisher | Springer Nature |
Pages | 789 |
Release | |
Genre | |
ISBN | 303150089X |
Elements of Dynamic Optimization
Title | Elements of Dynamic Optimization PDF eBook |
Author | Alpha C. Chiang |
Publisher | |
Pages | 0 |
Release | 2000 |
Genre | Economics, Mathematical |
ISBN | 9781577660965 |
INTRODUCTION 1.
Dynamic Optimization of Continuous Processes
Title | Dynamic Optimization of Continuous Processes PDF eBook |
Author | |
Publisher | |
Pages | 105 |
Release | 1961 |
Genre | |
ISBN |
Evolutionary Computation for Dynamic Optimization Problems
Title | Evolutionary Computation for Dynamic Optimization Problems PDF eBook |
Author | Shengxiang Yang |
Publisher | Springer |
Pages | 479 |
Release | 2013-11-18 |
Genre | Technology & Engineering |
ISBN | 3642384161 |
This book provides a compilation on the state-of-the-art and recent advances of evolutionary computation for dynamic optimization problems. The motivation for this book arises from the fact that many real-world optimization problems and engineering systems are subject to dynamic environments, where changes occur over time. Key issues for addressing dynamic optimization problems in evolutionary computation, including fundamentals, algorithm design, theoretical analysis, and real-world applications, are presented. "Evolutionary Computation for Dynamic Optimization Problems" is a valuable reference to scientists, researchers, professionals and students in the field of engineering and science, particularly in the areas of computational intelligence, nature- and bio-inspired computing, and evolutionary computation.