Skip to main content Accessibility help
×
  • Cited by 20
    • Show more authors
    • You may already have access via personal or institutional login
    • Select format
    • Publisher:
      Cambridge University Press
      Publication date:
      September 2011
      January 2010
      ISBN:
      9781139087353
      9780521195034
      Dimensions:
      (234 x 156 mm)
      Weight & Pages:
      0.61kg, 340 Pages
      Dimensions:
      Weight & Pages:
    You may already have access via personal or institutional login
  • Selected: Digital
    Add to cart View cart Buy from Cambridge.org

    Book description

    This 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 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 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.

    Reviews

    "This book provides an excellent introduction to controlled diffusions and their economic applications and it is self-contained..."
    Vivek S. Borkar, Mathematical Reviews

    "As the title indicates, the author’s presentation is clearly focussed on economics and provides neither exercises nor questions for further investigation. However, the chapters should allow the reader to identify future research areas. As such the text has much to commend it and the time taken to understand the material presented will reap benefits. For those interested in theoretical expositions, this is a text that I can recommend."
    Carl M. O’Brien, International Statistical Review

    Refine List

    Actions for selected content:

    Select all | Deselect all
    • View selected items
    • Export citations
    • Download PDF (zip)
    • Save to Kindle
    • Save to Dropbox
    • Save to Google Drive

    Save Search

    You can save your searches here and later view and run them again in "My saved searches".

    Please provide a title, maximum of 40 characters.
    ×

    Contents

    Metrics

    Full text views

    Total number of HTML views: 0
    Total number of PDF views: 0 *
    Loading metrics...

    Book summary page views

    Total views: 0 *
    Loading metrics...

    * Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.

    Usage data cannot currently be displayed.

    Accessibility standard: Unknown

    Accessibility compliance for the PDF of this book is currently unknown and may be updated in the future.