Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

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

Karl-Gustaf Löfgren ()
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Karl-Gustaf Löfgren: Department of Economics, Umeå University, Postal: Department of Economics, Umeå University, S 901 87 Umeå, Sweden

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

JEL-codes: C61; C73

134 pages, April 27, 2017

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