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[ 洋図書 ] Stochastic control and mathematical modeling : applications in economics / ( Encyclopedia of mathematics and its applications ; 131 )

Hiroaki Morimoto. -- Cambridge University Press, -- 2010. --

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ISBN 0521195039 (hardback)
ISBN13桁 9780521195034 (hardback)
テキストの言語 英語                  
分類：NDC10版 410.8
個人著者標目 Morimoto, Hiroaki,
生没年等 1945-
本タイトル Stochastic control and mathematical modeling :
タイトル関連情報 applications in economics /
著者名 Hiroaki Morimoto.
出版地・頒布地 Cambridge ;
出版者・頒布者名 Cambridge University Press,
出版年・頒布年 2010.
数量 xiii, 325 p. ;
大きさ 25 cm.
書誌注記 Includes bibliographical references (p. 317-322) and index.
内容注記 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.
要約、抄録、注釈等 "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.
シリーズ名・巻次 Encyclopedia of mathematics and its applications ; 131
一般件名 Stochastic control theory.
Optimal stopping (Mathematical statistics)
資料情報1 『Stochastic control and mathematical modeling : applications in economics /』（Encyclopedia of mathematics and its applications ; 131）　Hiroaki Morimoto.　Cambridge University Press,　2010. （所蔵館：中央　 請求記号：F/410.8/E56/E1-131　 資料コード：5018490214）
URL https://catalog.library.metro.tokyo.lg.jp/winj/opac/switch-detail.do?lang=ja&bibid=1348033675

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