Business & Economics Books:

Stochastic Control and Mathematical Modeling

Applications in Economics

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Stochastic Control and Mathematical Modeling by Hiroaki Morimoto
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Description

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.

Author Biography

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.
Release date Australia
January 29th, 2010
Country of Publication
United Kingdom
Imprint
Cambridge University Press
Pages
340
Dimensions
156x234x28
ISBN-13
9780521195034
Product ID
3679638

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