Average Reviews:
(More customer reviews)When you would like to learn the basic issues of stochastic optimization in continuous time, and you are rather unfamiliar with probability theory, then this book is a bad choice. The treatment is far less rigorous then promised by the praise at the back cover of the book. The proofs are often not that rigorous to deserve the name of proof. As in so many books the author invokes the so-called principle of optimality, suggesting that it is an eternal truth. As a heuristic principle this is fine, it is only a theorem, when properly phrased, under certain conditions, see for instance the works of Bertsekas. Furtheron the notation is now and then misleading.
It is quite well possible, that in the hands of a good teacher this is a valuable book, but someone, who would like to learn the trade on her own, by using this book, is strongly advised not to do so, and instead start with a mathematically sound introduction to stochastic processes. Someone, who would like to have a good intro in the context of finance is strongly advised to consult the two latest books by Shreve. These books are in my view exemplary for a thorough introduction to stochastic processes in an applied context.
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Most of the current books on stochastic control theory are written for students in mathematics or finance. This introduction is designed, however, for those interested in the relevance and applications of the theory's mathematical principles to economics. Therefore, mathematical methods are discussed intuitively and illustrated with economic examples. More importantly, mathematical concepts are introduced in language and terminology familiar to graduate students in economics.
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