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Stochastic Optimization and Economic Models

  • Jati K. Sengupta

Part of the Theory and Decision Library book series (TDLB, volume 2)

Table of contents

About this book

Introduction

This book presents the main applied aspects of stochas­ tic optimization in economic models. Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view. Methods of ap­ plied stochastic control using stochastic processes have now reached an exciti~g phase, where several disciplines like systems engineering, operations research and natural reso- ces interact along with the conventional fields such as mathematical economics, finance and control systems. Our objective is to present a critical overview of this broad terrain from a multidisciplinary viewpoint. In this attempt we have at times stressed viewpoints other than the purely economic one. We believe that the economist would find it most profitable to learn from the other disciplines where stochastic optimization has been successfully applied. It is in this spirit that we have discussed in some detail the following major areas: A. Portfolio models in ·:finance, B. Differential games under uncertainty, c. Self-tuning regulators, D. Models of renewable resources under uncertainty, and ix x PREFACE E. Nonparametric methods of efficiency measurement. Stochastic processes are now increasingly used in economic models to understand the various adaptive behavior implicit in the formulation of expectation and its application in decision rules which are optimum in some sense.

Keywords

calculus econometrics efficiency mathematical economics operations research optimization stochastic optimization stochastic process stochastic processes

Authors and affiliations

  • Jati K. Sengupta
    • 1
  1. 1.Department of EconomicsUniversity of CaliforniaSanta BarbaraUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-94-017-3085-3
  • Copyright Information Springer Science+Business Media B.V. 1986
  • Publisher Name Springer, Dordrecht
  • eBook Packages Springer Book Archive
  • Print ISBN 978-90-481-8426-2
  • Online ISBN 978-94-017-3085-3
  • Buy this book on publisher's site
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