Stochastic control and mathematical modeling: applications in economics
This is a concise and elementary introduction to stochastic control and mathematical modelling. 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 als...
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| Main Author: | |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2010
|
| Series: | Encyclopedia of mathematics and its applications
volume 131 |
| Links: | https://doi.org/10.1017/CBO9781139087353 |
| Summary: | This is a concise and elementary introduction to stochastic control and mathematical modelling. 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 Hamilton-Jacobi-Bellman (HJB) equation with boundary conditions. Major mathematical prerequisites are contained in the preliminary chapters or in the appendix so that readers can proceed without referring to other materials. |
| Physical Description: | 1 Online-Ressource (xiii, 325 Seiten) |
| ISBN: | 9781139087353 |
Staff View
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| spelling | Morimoto, Hiroaki 1945- Stochastic control and mathematical modeling applications in economics Hiroaki Morimoto Stochastic Control & Mathematical Modeling Cambridge Cambridge University Press 2010 1 Online-Ressource (xiii, 325 Seiten) txt c cr Encyclopedia of mathematics and its applications volume 131 This is a concise and elementary introduction to stochastic control and mathematical modelling. 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 Hamilton-Jacobi-Bellman (HJB) equation with boundary conditions. Major mathematical prerequisites are contained in the preliminary chapters or in the appendix so that readers can proceed without referring to other materials. Erscheint auch als Druck-Ausgabe 9780521195034 |
| spellingShingle | Morimoto, Hiroaki 1945- Stochastic control and mathematical modeling applications in economics |
| title | Stochastic control and mathematical modeling applications in economics |
| title_alt | Stochastic Control & Mathematical Modeling |
| title_auth | Stochastic control and mathematical modeling applications in economics |
| title_exact_search | Stochastic control and mathematical modeling applications in economics |
| title_full | Stochastic control and mathematical modeling applications in economics Hiroaki Morimoto |
| title_fullStr | Stochastic control and mathematical modeling applications in economics Hiroaki Morimoto |
| title_full_unstemmed | Stochastic control and mathematical modeling applications in economics Hiroaki Morimoto |
| title_short | Stochastic control and mathematical modeling |
| title_sort | stochastic control and mathematical modeling applications in economics |
| title_sub | applications in economics |
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