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About this product
- DescriptionThis is a concise and elementary introduction to stochastic control and mathematical modelling. This book is designed for researchers in stochastic control theory studying its application in mathematical ecomics and those in ecomics who are interested in mathematical theory in control. It is also a good guide for graduate students studying applied mathematics, mathematical ecomics, and n-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 Hamilton-Jacobi-Bellman (HJB) equation with boundary conditions. Major mathematical prerequisites are contained in the preliminary chapters or in the appendix so that readers can proceed without referring to other materials.
- Author BiographyHiroaki Morimoto is a Professor in Mathematics at the Graduate School of Science and Engineering at Ehime University. His research interests include stochastic control, mathematical economics and finance and insurance applications, and the viscosity solution theory.
- Author(s)Hiroaki Morimoto
- PublisherCambridge University Press
- Date of Publication29/01/2010
- SubjectScience & Mathematics: Textbooks & Study Guides
- Series TitleEncyclopedia of Mathematics and Its Applications
- Series Part/Volume Number131
- Place of PublicationCambridge
- Country of PublicationUnited Kingdom
- ImprintCambridge University Press
- Weight610 g
- Width156 mm
- Height234 mm
- Spine28 mm
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