詳細情報

刊年

2010

形態

xiii, 325 p. : ill. ; 24 cm

シリーズ名

Encyclopedia of mathematics and its applications / edited by G.-C. Rota ; 131

注記

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

出版国

イギリス

標題言語

英語 (eng)

本文言語

英語 (eng)

著者情報

森本, 宏明 (モリモト, ヒロアキ)

分類

LCC:QA402.37

DC22:629.8/312

件名

Stochastic control theory

Optimal stopping (Mathematical statistics)

Stochastic differential equations

ISBN

9780521195034 (: hbk)

NCID

BB01127824

番号

LCCN : 2009042538