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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.
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