Stochastic Control and Mathematical Modeling: Applications in Economics

by Hiroaki Morimoto

Overview

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.

Product Details

ISBN-13:	9780521195034
Publisher:	Cambridge University Press
Publication date:	01/29/2010
Series:	Encyclopedia of Mathematics and its Applications , #131
Pages:	340
Product dimensions:	6.20(w) x 9.30(h) x 1.10(d)

About the Author

Hiroaki 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.

Table of Contents

Part I. Stochastic Calculus and Optimal Control Theory: 1. Foundations of stochastic calculus; 2. Stochastic differential equations: weak formulation; 3. Dynamic programming; 4. Viscosity solutions of Hamilton-Jacobi-Bellman equations; 5. Classical solutions of Hamilton-Jacobi-Bellman equations; Part II. Applications to Mathematical Models in Economics: 6. Production planning and inventory; 7. Optimal consumption/investment models; 8. Optimal exploitation of renewable resources; 9. Optimal consumption models in economic growth; 10. Optimal pollution control with long-run average criteria; 11. Optimal stopping problems; 12. Investment and exit decisions; Part III. 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.

Editorial 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

From the Publisher