Stochastic Methods in Economics and Finance

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Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, ItO's Lemma as a tool of stochastic calculus, and basic facts about stochastic differential equations. The notion of stochastic ability and the methods of stochastic control are discussed, and their use in economic theory and finance is illustrated with numerous applications. The ...

Stochastic Methods in Economics and Finance 1988, North-Holland, Amsterdam, Netherlands

ISBN-13: 9780444862013

1979 edition