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Stochastic Control and Mathematical Modeling: Applications in Economics

Hiroaki Morimoto
Publisher: 
Cambridge University Press
Publication Date: 
2010
Number of Pages: 
325
Format: 
Hardcover
Series: 
Encyclopedia of Mathemtaics and Its Applciations 131
Price: 
110.00
ISBN: 
9780521195034
Category: 
Monograph
We do not plan to review this book.

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.

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