Mendeley出力
＜図書＞
Stochastic control and mathematical modeling : applications in economics
| 責任表示 | Hiroaki Morimoto |
|---|---|
| シリーズ | Encyclopedia of mathematics and its applications / edited by G.-C. Rota ; 131 |
| データ種別 | 図書 |
| 出版情報 | Cambridge : Cambridge University Press , 2010 |
| 本文言語 | 英語 |
| 大きさ | xiii, 325 p. : ill. ; 24cm |
| 概要 | "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 mathemati...al 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.続きを見る |
| 目次 | 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-ArzelaÌ theorem.続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
|---|---|---|---|---|---|---|---|---|---|---|
|
|
:hbk | 理系図3F 数理独自 | MORI/93/1 | 2010 |
|
023212009007333 |
|
書誌詳細
| 一般注記 | 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 |
|---|---|
| 著者標目 | *森本, 宏明 <モリモト, ヒロアキ> |
| 件 名 | LCSH:Stochastic control theory LCSH:Optimal stopping (Mathematical statistics) LCSH:Stochastic differential equations |
| 分 類 | LCC:QA402.37 DC22:629.8/312 |
| 書誌ID | 1001415393 |
| ISBN | 9780521195034 |
| NCID | BB01127824 |
| 巻冊次 | :hbk ; ISBN:9780521195034 |
| 登録日 | 2010.03.02 |
| 更新日 | 2010.03.02 |