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- 000 03041cam a2200349 a 4500
- 008 091008s2010 enk b 001 0 eng
- 020 __ |a 9780521195034 (hardback)
- 020 __ |a 0521195039 (hardback)
- 040 __ |a DLC |c DLC |d BTCTA |d C#P |d BWX |d YDXCP |d UKM |d YHM
- 050 00 |a QA402.37 |b .M67 2010
- 082 00 |a 629.8/312 |2 22
- 100 1_ |a Morimoto, Hiroaki, |d 1945-
- 245 10 |a Stochastic control and mathematical modeling : |b applications in economics / |c Hiroaki Morimoto.
- 260 __ |a Cambridge ; |a New York : |b Cambridge University Press, |c 2010.
- 300 __ |a xiii, 325 p. ; |c 25 cm.
- 490 1_ |a Encyclopedia of mathematics and its applications ; |v [131]
- 500 __ |a Series numbering from jacket.
- 504 __ |a Includes bibliographical references (p. [317]-323) and index.
- 520 __ |a "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.
- 505 0_ |a 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.
- 650 _0 |a Stochastic control theory.
- 650 _0 |a Optimal stopping (Mathematical statistics)
- 650 _0 |a Stochastic differential equations.
- 830 _0 |a Encyclopedia of mathematics and its applications ; |v v. 131.
- 856 42 |3 Cover image |u http://assets.cambridge.org/97805211/95034/cover/9780521195034.jpg