Stochastic Control and Mathematical Modeling

DOI10.1017/CBO9781139087353zbMath1242.93003MaRDI QIDQ3558487

Hiroaki Morimoto

Publication date: 5 May 2010

Full work available at URL: https://doi.org/10.1017/cbo9781139087353

zbMATH Keywords

stochastic differential equation; dynamic programming; viscosity solution; optimal stopping; stochastic control; production planning; Hamilton--Jacobi--Bellman equation; optimal consumption/investment model; optimal pollution control

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

91B70: Stochastic models in economics

93-02: Research exposition (monographs, survey articles) pertaining to systems and control theory

93E20: Optimal stochastic control

93E03: Stochastic systems in control theory (general)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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