Optimization in economics and finance. Some advances in non-linear, dynamic, multi-criteria and stochastic models. (Q2569578): Difference between revisions

This book is an interesting and interdisciplinary survey of applications of optimization to special parts of economics (growth theory) and finance. On the one hand this book contains some materials already published by the authors as original papers (the sources are exactly given), on the other hand the whole contents of this book is presented in a unified manner. It is a pleasure to read the explicitly given hints to proposed extensions of existing methods and also to read discussions, assessments, recommendations and conclusions of the authors to their methods, examples, computer programs (SCOM), figures and to the existing literatur. Clearly, the book isn't written for students of the first years, but for people having a certain knowledge of optimization, economics and finance. Mathematically one finds single- and multiobjective optimal control with Pontryagin's conditions, dynamic optimization modelling, transversality conditions, generalized duality, Kuhn-Tucker theory, relaxing convexity assumptions and a lot of hints and remarks to Lagrangeans, Hamiltonians, uncertainty, perturbations (also stochastic ones), sensitivity, sustainability, stochastic influences, reducing the set of Pareto-optimal points and jump behaviours.