Stochastic control and mathematical modeling: applications in economics/
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge ; New York:
Cambridge University Press,
c2010
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| Series: | Encyclopedia of mathematics and its applications (Cambridge University Press)
[131] |
| Subjects: |
Table of Contents:
- 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-Arzela Theorem.