Stochastic Control and Mathematical Modeling

DOI10.1017/CBO9781139087353zbMath1242.93003OpenAlexW4205577309MaRDI QIDQ3558487

Hiroaki Morimoto

Publication date: 5 May 2010

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

zbMATH Keywords

stochastic differential equationdynamic programmingviscosity solutionoptimal stoppingstochastic controlproduction planningHamilton--Jacobi--Bellman equationoptimal consumption/investment modeloptimal pollution control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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