Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
Department of Economics, Umeå University Umeå Economic Studies, Department of Economics, Umeå University

No 949:
Stochastic Differential Equations and Stochastic Optimal Control for Economists: Learning by Exercising

Karl-Gustaf Löfgren ()

Abstract: These notes originate from my own efforts to learn and use Ito-calculus to solve stochastic differential equations and stochastic optimization problems. Although the material contains theory and, at least, sketches of proofs, most of the material consists of exercises in terms of problem solving. The problems are borrowed from textbooks that I have come across during my own attempts to become an amateur mathematician. However, my Professors Björk, Nyström and Öksendal have done extremely work to help me. Tomas Björk and Bernt Öksendal have made my help with the books Arbitrage Theory in Continuous Time and Stochastic Differential Equations, and they are excellent. Kaj Nyström is a fantastic mathematician and teacher, and he has been one of the very best to help me with the booaks from Björk and Öksendal.

Keywords: Stochastic differential equations; stochastic optimal control and finance; (follow links to similar papers)

JEL-Codes: C61; C73; (follow links to similar papers)

134 pages, April 27, 2017

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

196864_ues949.pdf    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to David Skog ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:umnees:0949 This page was generated on 2017-04-27 12:12:28