Stochastic control and mathematical modeling. Applications in economics.

DOI10.1017/CBO9781139087353zbMATH Open1242.93003OpenAlexW4205577309MaRDI QIDQ3558487FDOQ3558487

Authors: Hiroaki Morimoto 

Publication date: 5 May 2010

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

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zbMATH Keywords

dynamic programmingstochastic differential equationoptimal stoppingstochastic controlviscosity solutionproduction planningHamilton--Jacobi--Bellman equationoptimal consumption/investment modeloptimal pollution control

Mathematics Subject Classification ID

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

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