Stochastic control and mathematical modeling : applications in economics

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Bibliographic Information

Title
"Stochastic control and mathematical modeling : applications in economics"
Statement of Responsibility
Hiroaki Morimoto
Publisher
  • Cambridge University Press
Publication Year
  • 2010
Book size
24 cm
Series Name / No
  • : hbk

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Notes

Includes bibliographical references (p. 317-322) and index

Summary: "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

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