Stochastic Control and Mathematical Modeling: Applications in Economics: 131 (Encyclopedia of Mathematics and its Applications, Series Number 131) - Hardcover

Book 131 of 188: Encyclopedia of Mathematics and its Applications

Morimoto, Hiroaki

 
9780521195034: Stochastic Control and Mathematical Modeling: Applications in Economics: 131 (Encyclopedia of Mathematics and its Applications, Series Number 131)
Hardcover
ISBN 10: 0521195039 ISBN 13: 9780521195034
Publisher: Cambridge University Press, 2010

Synopsis

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.

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About the Author

Hiroaki Morimoto is a Professor in Mathematics at the Graduate School of Science and Engineering at Ehime University. His research interests include stochastic control, mathematical economics and finance and insurance applications, and the viscosity solution theory.

"About this title" may belong to another edition of this title.

Publisher
Cambridge University Press
Publication date
2010
Language
English
ISBN 10 
0521195039
ISBN 13 
9780521195034
Binding
Hardcover
Edition number
1
Number of pages
340