Tintner / Sengupta Stochastic Economics

Stochastic Processes, Control, and Programming
1. Auflage 2014
ISBN: 978-1-4832-7402-7
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 328 Seiten, Web PDF

Stochastic Economics: Stochastic Processes, Control, and Programming presents some aspects of economics from a stochastic or probabilistic point of view. The application of stochastic processes to the theory of economic development, stochastic control theory, and various aspects of stochastic programming is discussed. Comprised of four chapters, this book begins with a short survey of the stochastic view in economics, followed by a discussion on discrete and continuous stochastic models of economic development. The next chapter focuses on methods of stochastic control and their application to dynamic economic models, with emphasis on those aspects connected especially with the theory of quantitative economic policy. Some basic operational problems of applying stochastic control, particularly in economic systems and organizations for problems such as dynamic resource allocation, growth planning, and economic coordination are considered. The last chapter is devoted to stochastic programming, paying particular attention to the decision rule theory of operations research under the chance-constrained model and a method of incorporating reliability measures into a systems reliability model. This book will be of interest to economists, statisticians, applied mathematicians, operations researchers, and systems engineers.

Autoren/Hrsg.

Tintner, Gerhard

Sengupta, Jati K.

Inhaltsverzeichnis

1;Front Cover;1
2;Stochastic Economics: Stochastic Processes, Control, and Programming;4
3;Copyright Page;5
4;Table of Contents ;8
5;Dedication;6
6;PREFACE;10
7;CHAPTER 1. THE STOCHASTIC VIEW OF ECONOMICS;14
7.1;1.1 What Is Stochastic ?;14
7.2;1.2 Stochastic and Deterministic Economics;22
7.3;1.3 Stochastic Elements in Econometric Models;25
7.4;1.4 The Need for Stochastic Treatment of Economic Problems;34
7.5;1.5 Scope of Our Stochastic Analysis;37
8;CHAPTER 2. STOCHASTIC MODELS OF ECONOMIC DEVELOPMENT;39
8.1;2.1 Stochastic Systems;40
8.2;2.2 Discrete Stochastic Processes and Their Application to Trends of Economic Development;48
8.3;2.3 Multi-Dimensional Discrete Stochastic Process with Applications;72
8.4;2.4 Diffusion Processes Applied to Economic Development;78
9;CHAPTER 3. STOCHASTIC CONTROL THEORY
WITH ECONOMIC APPLICATIONS;106
9.1;3.1 Deterministic Control Theory and its Economic Applications;107
9.2;3.3 Economic Applications of Stochastic Control;163
9.3;3.4 Problems in Stochastic Control;193
10;CHAPTER 4. STOCHASTIC PROGRAMMING METHODS WITH ECONOMIC
APPLICATIONS;199
10.1;4.1 Programming Framework in Economic Analysis;200
10.2;4.2. The Approach of Stochastic Linear Programming: A Brief Summary;216
10.3;4.3 Economic Applications of Stochastic Programming;242
10.4;4.4 Stochastic Programming and Economic Decisions;272
11;REFERENCES AND BIBLIOGRAPHY;282
12;AUTHOR INDEX;310
13;SUBJECT INDEX;318