Stochastic Control in Discrete and Continuous Time

by Atle Seierstad

This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case using few mathematical tools before proceeding to the stochastic continuous-time models requiring more advanced mathematics. Topics covered include stochastic maximum principles for discrete time, continuous time, and for problems with terminal conditions. A nonstandard treatment of piecewise deterministic problems, related to some control problems, is also presented. Numerous illustrative examples and exercises are included to enhance the understanding of the reader. By interlinking many fields in stochastic control, the material gives the student the opportunity to see the connections between different fields and the underlying ideas that unify them. This text will be of benefit to students in economics, engineering, applied mathematics and related fields. Prerequisites include a course in calculus and elementary probability theory.

232 pages, Hardcover

First published November 3, 2008

About the author

Knut Sydsæter, Atle Seierstad, and Arne Strøm all have extensive experience in teaching mathematics for economists in the Department of Economics at the University of Oslo. With Peter Berck at Berkeley, Knut Sydsæter and Arne Strøm have written a widely used formula book, Economists’ Mathematical Manual (Springer, 2005). The 1987 North-Holland book Optimal Control Theory for Economists by Atle Seierstad and Knut Sydsæter is still a standard reference in the field.

Visit www.pearsoned.co.uk/sydsaeter to access the supplementary resources for this text including a new Student’s Manual with extended answers broken down step by step to selected problems in the text.