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Stochastic control and mathematical modeling : applications in economics
"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 i...
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| Main Author : | |
|---|---|
| Format : | Book |
| Language : | anglais |
| Title statement : | Stochastic control and mathematical modeling : applications in economics / Hiroaki Morimoto |
| Published : |
New York :
Cambridge University Press
, cop. 2010 |
| Physical Description : | 1 vol. (XIII-325 p.) |
| Series : | Encyclopedia of mathematics and its applications ; 131 |
| Subjects : |
- Part I. Stochastic Calculus and Optimal Control Theory:
- 1. Foundations of stochastic calculus;
- 2. Stochastic differential equations: weak formulation;
- 3. Dynamic programming;
- 4. Viscosity solutions of Hamilton-Jacobi-Bellman equations;
- 5. Classical solutions of Hamilton-Jacobi-Bellman equations;
- Part II. Applications to Mathematical Models in Economics:
- 6. Production planning and inventory;
- 7. Optimal consumption/investment models;
- 8. Optimal exploitation of renewable resources;
- 9. Optimal consumption models in economic growth;
- 10. Optimal pollution control with long-run average criteria;
- 11. Optimal stopping problems;
- 12. Investment and exit decisions;
- Part III. 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-Arzela theorem