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题名/责任者:

Stochastic control and mathematical modeling : applications in economics / Hiroaki Morimoto.

出版发行项:

Cambridge ; New York : Cambridge University Press, 2010.

ISBN:

9780521195034 (hardback)

ISBN:

0521195039 (hardback)

载体形态项:

xiii, 325 p. ; 25 cm.

丛编说明:

Encyclopedia of mathematics and its applications ; [131]

丛编统一题名:

Encyclopedia of mathematics and its applications ; v. 131.

个人责任者:

Morimoto, Hiroaki, 1945-

论题主题:

Stochastic control theory.

论题主题:

Optimal stopping (Mathematical statistics)

论题主题:

Stochastic differential equations.

中图法分类号:

O231

一般附注:

Series numbering from jacket.

书目附注:

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

内容附注:

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-Arzel a theorem.

摘要附注:

"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.

电子资源:

http://assets.cambridge.org/97805211/95034/cover/9780521195034.jpg

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