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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge ; New York :
Cambridge University Press,
2010.
|
| Colección: | Encyclopedia of mathematics and its applications ;
v. 131. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Stochastic calculus and optimal control theory
- Foundations of stochastic calculus
- Stochastic differential equations: weak formulation
- Dynamic programming
- Viscosity solutions of Hamilton-Jacobi-Bellman equations
- Classical solutions of Hamilton-Jacobi-Bellman equations
- Applications to mathematical models in economics
- Production planning and inventory
- Optimal consumption/investment models
- Optimal exploitation of renewable resources
- Optimal consumption models in economic growth
- Optimal pollution control with long-run average criteria
- Optimal stopping problems
- Investment and exit decisions
- 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-Arzelà theorem.