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Stochastic differential equations --- Equations différentielles stochastiques --- 519.218 --- Special stochastic processes --- 519.218 Special stochastic processes --- Equations différentielles stochastiques --- 519.216 --- Differential equations --- Fokker-Planck equation --- 519.216 Stochastic processes in general. Prediction theory. Stopping times. Martingales --- Stochastic processes in general. Prediction theory. Stopping times. Martingales --- Stochastic differential equations. --- Analyse stochastique --- Equations differentielles stochastiques

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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.

Stochastic control theory --- Optimal stopping (Mathematical statistics) --- Stochastic differential equations --- 519.2 --- 629.8312 --- 303.0 --- 305.976 --- 330.3 --- AA / International- internationaal --- Differential equations --- Fokker-Planck equation --- Control theory --- Stochastic processes --- Stopping, Optimal (Mathematical statistics) --- Sequential analysis --- Statistische technieken in econometrie. Wiskundige statistiek (algemene werken en handboeken) --- Algoritmen. Optimisatie --- Methode in staathuishoudkunde. Statische, dynamische economie. Modellen. Experimental economics --- Stochastic control theory. --- Stochastic differential equations. --- Mathematical Sciences --- Probability

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Stochastic differential equations. --- 519.216 --- 517.9 --- Stochastic differential equations --- 681.3*H35 --- 681.3*H1 --- 681.3*H1 Models and principles (Information systems) --- Models and principles (Information systems) --- 681.3*H35 On-line information services: data bank sharing --- On-line information services: data bank sharing --- 517.9 Differential equations. Integral equations. Other functional equations. Finite differences. Calculus of variations. Functional analysis --- Differential equations. Integral equations. Other functional equations. Finite differences. Calculus of variations. Functional analysis --- 519.216 Stochastic processes in general. Prediction theory. Stopping times. Martingales --- Stochastic processes in general. Prediction theory. Stopping times. Martingales --- 519.2 --- Differential equations --- Fokker-Planck equation --- Mathematical analysis. --- Analysis (Mathematics). --- Probabilities. --- Mathematical physics. --- System theory. --- Calculus of variations. --- Partial differential equations. --- Analysis. --- Probability Theory and Stochastic Processes. --- Theoretical, Mathematical and Computational Physics. --- Systems Theory, Control. --- Calculus of Variations and Optimal Control; Optimization. --- Partial Differential Equations. --- Partial differential equations --- Isoperimetrical problems --- Variations, Calculus of --- Maxima and minima --- Systems, Theory of --- Systems science --- Science --- Physical mathematics --- Physics --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- 517.1 Mathematical analysis --- Mathematical analysis --- Philosophy --- Physics. --- Mathematics. --- System theory --- Math --- Natural philosophy --- Philosophy, Natural --- Physical sciences --- Dynamics