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Stochastic Optimization in Continuous Time, Chang, Fwu-Ranq,



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Автор: Chang, Fwu-Ranq,
Название:  Stochastic Optimization in Continuous Time
Перевод названия: Чанг: Стохастическая оптимизация в продолжительное время
ISBN: 9780521541947
Издательство: Cambridge Academ
Классификация:
ISBN-10: 0521541948
Обложка/Формат: Paperback
Страницы: 348
Вес: 0.552 кг.
Дата издания: 01/10/2009
Серия: Econometrics, statistics and mathematical economics
Язык: English
Иллюстрации: Black & white illustrations
Размер: 230 x 155 x 22
Читательская аудитория: econometrics, statistics, finance, applied mathematics, mathematical economics, statistical methods, financial applications
Ссылка на Издательство: Link
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Поставляется из: Англии



      Старое издание
Stochastic Optimization in Continuous Time

Автор: Fwu-Ranq Chang
Название: Stochastic Optimization in Continuous Time
ISBN: 0521834066 ISBN-13(EAN): 9780521834063
Издательство: Cambridge Academ
Цена: 9218 р.
Наличие на складе: Есть у поставщикаПоставка под заказ.
Описание: 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 emphasizes 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.


Convex Optimization

Автор: Stephen Boyd
Название: Convex Optimization
ISBN: 0521833787 ISBN-13(EAN): 9780521833783
Издательство: Cambridge Academ
Рейтинг:
Цена: 14460 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Convex optimization problems arise frequently in many different fields. This book provides a comprehensive introduction to the subject, and shows in detail how such problems can be solved numerically with great efficiency. The book begins with the basic elements of convex sets and functions, and then describes various classes of convex optimization problems. Duality and approximation techniques are then covered, as are statistical estimation techniques. Various geometrical problems are then presented, and there is detailed discussion of unconstrained and constrained minimization problems, and interior-point methods. The focus of the book is on recognizing convex optimization problems and then finding the most appropriate technique for solving them. It contains many worked examples and homework exercises and will appeal to students, researchers and practitioners in fields such as engineering, computer science, mathematics, statistics, finance and economics.

Continuous-Time Models in Corporate Finance: A User`s Guide

Автор: Moreno-Bromberg Santiago, Rochet Jean-Charles
Название: Continuous-Time Models in Corporate Finance: A User`s Guide
ISBN: 0691176523 ISBN-13(EAN): 9780691176529
Издательство: Wiley
Рейтинг:
Цена: 6897 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital s

Stochastic Processes

Автор: Gallager
Название: Stochastic Processes
ISBN: 1107039754 ISBN-13(EAN): 9781107039759
Издательство: Cambridge Academ
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Цена: 11206 р.
Наличие на складе: Есть (1 шт.)
Описание: This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the world's leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

Автор: Albert Rex Bergstrom
Название: A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends
ISBN: 0521875498 ISBN-13(EAN): 9780521875493
Издательство: Cambridge Academ
Рейтинг:
Цена: 13920 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This monograph presents the first continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modelling. The book describes the new model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour. The model is estimated using newly developed exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

Автор: Bergstrom
Название: A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends
ISBN: 1107411238 ISBN-13(EAN): 9781107411234
Издательство: Cambridge Academ
Рейтинг:
Цена: 4698 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Over the last thirty years there has been extensive use of continuous time econometric methods in macroeconomic modelling. This 2007 monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends. Its development represents a major step forward in continuous time macroeconomic modelling. The book describes the model in detail and, like earlier models, it is designed in such a way as to permit a rigorous mathematical analysis of its steady-state and stability properties, thus providing a valuable check on the capacity of the model to generate plausible long-run behaviour. The model is estimated using newly developed exact Gaussian estimation methods for continuous time econometric models incorporating unobservable stochastic trends. The book also includes discussion of the application of the model to dynamic analysis and forecasting.

Advanced Stochastic Models, Risk Assessment, and P ortfolio Optimization: The Ideal Risk, Uncertaint y, and Performance Measures

Автор: Rachev
Название: Advanced Stochastic Models, Risk Assessment, and P ortfolio Optimization: The Ideal Risk, Uncertaint y, and Performance Measures
ISBN: 047005316X ISBN-13(EAN): 9780470053164
Издательство: Wiley
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Цена: 13613 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as appl cations to the area of computational finance that may be useful to financial engineers.

Stochastic methods

Автор: Gardiner, Crispin W.
Название: Stochastic methods
ISBN: 3540707123 ISBN-13(EAN): 9783540707127
Издательство: Springer
Рейтинг:
Цена: 11879 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Collects the many formulae and methods that can be found in the scientific literature on stochastic methods. This title features a large amount material, including aspects of driven stochastic systems, the application and validity of simulation methods as well as applications to financial markets.

Analysis, Controllability and Optimization of Time-Discrete Systems and Dynamical Games

Автор: Krabs Werner, Pickl Stefan Wolfgang
Название: Analysis, Controllability and Optimization of Time-Discrete Systems and Dynamical Games
ISBN: 3540403272 ISBN-13(EAN): 9783540403272
Издательство: Springer
Рейтинг:
Цена: 14106 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book is concerned with the analysis, optimization and controllability of time-discrete dynamical systems and games under the aspect of stability, controllability and (for games) cooperative and non-cooperative treatment. The investigation of stability is based on Lyapunov's method which is generalized to non-autonomous systems. Optimization and controllability of dynamical systems is treated, among others, with the aid of mapping theorems such as implicit function theorem and inverse mapping theorem. Dynamical games are treated as cooperative and non-cooperative games and are used in order to deal with the problem of carbon dioxide reduction under economic aspects. The theoretical results are demonstrated by various applications.

Stochastic Optimization in Continuous Time

Автор: Fwu-Ranq Chang
Название: Stochastic Optimization in Continuous Time
ISBN: 0521834066 ISBN-13(EAN): 9780521834063
Издательство: Cambridge Academ
Рейтинг:
Цена: 9218 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: 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 emphasizes 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.

A Game Theory Analysis of Options / Corporate Finance and Financial Intermediation in Continuous Time

Автор: Ziegler Alexandre
Название: A Game Theory Analysis of Options / Corporate Finance and Financial Intermediation in Continuous Time
ISBN: 354020668X ISBN-13(EAN): 9783540206682
Издательство: Springer
Рейтинг:
Цена: 25244 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book shows how to combine game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty. The basic intuition of the method is to separate the problem of the valuation of payoffs from the analysis of strategic interactions. Whereas the former is to be handled using option pricing, the latter can be addressed by game theory. The text shows how both instruments can be combined and how game theory can be applied to complex problems of corporate finance and financial intermediation. Besides providing theoretical foundations and serving as a guide to stochastic game theory modelling in continuous time, the text contains numerous applications to the theory of corporate finance and financial intermediation, such as the design of debt contracts, capital structure choice, the structure of banking deposit contracts, and the incentive effects of deposit insurance. By combining arbitrage-free valuation techniques with strategic analysis, the game theory analysis of options actually provides the link between markets and organizations.

DLP and Extensions / An Optimization Model and Decision Support System

Автор: Nazareth John L.
Название: DLP and Extensions / An Optimization Model and Decision Support System
ISBN: 3540411143 ISBN-13(EAN): 9783540411147
Издательство: Springer
Рейтинг:
Цена: 11879 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: DLP denotes a dynamic-linear modeling and optimization approach to computational decision support for resource planning problems that arise, typically, within the natural resource sciences and the disciplines of operations research and operational engineering. It integrates techniques of dynamic programming (DP) and linear programming (LP) and can be realized in an immediate, practical and usable way. Simultaneously DLP connotes a broad and very general modeling/ algorithmic concept that has numerous areas of application and possibilities for extension. Two motivating examples provide a linking thread through the main chapters, and an appendix provides a demonstration program, executable on a PC, for hands-on experience with the DLP approach.

Introduction to Computational Optimization Models for Production Planning in a Supply Chain

Автор: Vo?
Название: Introduction to Computational Optimization Models for Production Planning in a Supply Chain
ISBN: 3540298789 ISBN-13(EAN): 9783540298786
Издательство: Springer
Рейтинг:
Цена: 20789 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The book begins with an easy-to-read introduction to the concepts associated with the creation of optimization models for production planning. These concepts are then applied to well-known planning models, namely mrp and MRP II. From this foundation fairly sophisticated models for supply chain management are developed. Another unique feature is that models are developed with an eye toward implementation. In fact, there is a chapter that provides explicit examples of implementation of the basic models using a variety of popular, commercially available modeling languages. The new edition is updated and provides extensions.


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