عنوان

Stochastic control and mathematical modeling :

(Number (ISBN

0521195039

(Number (ISBN

9780521195034

Number

dltt

Title Proper

Stochastic control and mathematical modeling :

General Material Designation

[Book]

Other Title Information

applications in economics /

First Statement of Responsibility

Hiroaki Morimoto

Specific Material Designation and Extent of Item

xiii, 325 pages ;

Dimensions

25 cm

Series Title

Encyclopedia of mathematics and its applications ;

Volume Designation

[131]

Text of Note

Series numbering from jacket

Text of Note

Includes bibliographical references (pages [317]-323) and index

Text of Note

Stochastic calculus and optimal control theory -- Foundations of stochastic calculus -- Stochastic differential equations: weak formulation -- Dynamic programming -- Viscosity solutions of Hamilton-Jacobi-Bellman equations -- Classical solutions of Hamilton-Jacobi-Bellman equations -- Applications to mathematical models in economics -- Production planning and inventory -- Optimal consumption/investment models -- Optimal exploitation of renewable resources -- Optimal consumption models in economic growth -- Optimal pollution control with long-run average criteria -- Optimal stopping problems -- Investment and exit decisions -- Appendices -- A. Dini's theorem -- B. The Stone-Weierstrass theorem -- C. The Riesz representation theorem -- D. Rademacher's theorem -- E. Vitali's covering theorem -- F. The area formula -- G. The Brouwer fixed point theorem -- H. The Ascoli-Arzelà theorem

0

Text of Note

"This is a concise and elementary introduction to stochastic control and mathematical modeling. This book is designed for researchers in stochastic control theory studying its application in mathematical economics and those in economics who are interested in mathematical theory in control. It is also a good guide for graduate students studying applied mathematics, mathematical economics, and non-linear PDE theory. Contents include the basics of analysis and probability, the theory of stochastic differential equations, variational problems, problems in optimal consumption and in optimal stopping, optimal pollution control, and solving the HJB equation with boundary conditions. Major mathematical requisitions are contained in the preliminary chapters or in the appendix so that readers can proceed without referring to other materials"--Provided by publisher

Optimal stopping (Mathematical statistics)

Stochastic control theory

Stochastic differential equations

Number

Edition

Class number

Book number

Morimoto, Hiroaki,1945-

Date of Transaction

20100226105030.0

Cataloguing Rules (Descriptive Conventions))

rda

Electronic name

[Book]

Y