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タイトル・著者名
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Stochastic control and mathematical modeling : applications in economics / Hiroaki Morimoto
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出版
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Cambridge ; Tokyo : Cambridge University Press , 2010
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形態事項
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xiii, 325 p. : ill. ; 24 cm
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巻号情報
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シリーズ
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Encyclopedia of mathematics and its applications / edited by G.-C. Rota <BB00045255> [131]//a
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注記
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Includes bibliographical references (p. 317-322) and index
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注記
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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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NCID
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BB01127824
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本文言語コード
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英語
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著者標目リンク
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*森本, 宏明||モリモト, ヒロアキ <AU00073102>
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分類標目
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LCC:QA402.37
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分類標目
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DC22:629.8/312
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件名標目等
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Stochastic control theory
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件名標目等
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Optimal stopping (Mathematical statistics)
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件名標目等
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Stochastic differential equations
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