Applications of Variational Inequalities in Stochastic Control PDF Download
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Author: A. Bensoussan
Publisher: Elsevier
ISBN: 0080875335
Category : Mathematics
Languages : en
Pages : 577
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Book Description
Applications of Variational Inequalities in Stochastic Control
Author: A. Bensoussan
Publisher: Elsevier
ISBN: 0080875335
Category : Mathematics
Languages : en
Pages : 577
Get Book Here
Book Description
Applications of Variational Inequalities in Stochastic Control
Author: Alain Bensoussan
Publisher:
ISBN: 9780444557438
Category : Control theory
Languages : en
Pages : 564
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Book Description
Author: Alain Bensoussan
Publisher: Bordas Editions
ISBN:
Category : Calculus of variations
Languages : en
Pages : 712
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Book Description
"The general aim of this book is to establish and study the relations that exist, via dynamic programming, between, on the one hand, stochastic control, and on the other hand variational and quasi-variational inequalities, with the intention of obtaining constructive methods of solution by numerical methods. It begins with numerous examples which occur in applications and goes on to study, from an analytical viewpoint, both elliptic and parabolic quasi-variational inequalities. Finally the authors reconstruct an optimal control starting from the solution of the quasi-variational inequality."--Amazon.
Author: Jörg Steinbach
Publisher: Birkhäuser
ISBN: 3034875975
Category : Mathematics
Languages : en
Pages : 297
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Book Description
This monograph studies an evolutionary variational inequality approach to a degenerate moving free boundary problem. It takes an intermediate position between elliptic and parabolic inequalities and comprises an elliptic differential operator, a memory term and time-dependent convex constraint sets. Finally, a description of injection and compression moulding is presented in terms of different mathematical models, a generalized Hele-Shaw flow, a distance concept and Navier-Stokes flow.
Author: Alexander Vollert
Publisher: Springer Science & Business Media
ISBN: 1461220688
Category : Mathematics
Languages : en
Pages : 275
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Book Description
The theoretical foundation for real options goes back to the mid 1980s and the development of a model that forms the basis for many current applications of real option theory. Over the last decade the theory has rapidly expanded and become enriched thanks to increasing research activity. Modern real option theory may be used for the valuation of entire companies as well as for particular investment projects in the presence of uncertainty. As such, the theory of real options can serve as a tool for more practically oriented decision making, providing management with strategies maximizing its capital market value. This book is devoted to examining a new framework for classifying real options from a management and a valuation perspective, giving the advantages and disadvantages of the real option approach. Impulse control theory and the theory of optimal stopping combined with methods of mathematical finance are used to construct arbitrarily complex real option models which can be solved numerically and which yield optimal capital market strategies and values. Various examples are given to demonstrate the potential of this framework. This work will benefit the financial community, companies, as well as academics in mathematical finance by providing an important extension of real option research from both a theoretical and practical point of view.
Author: Bernt Øksendal
Publisher: Springer Science & Business Media
ISBN: 3540698264
Category : Mathematics
Languages : en
Pages : 263
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Book Description
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author: Zhi-Quan Luo
Publisher: Cambridge University Press
ISBN: 9780521572903
Category : Mathematics
Languages : en
Pages : 432
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Book Description
An extensive study for an important class of constrained optimisation problems known as Mathematical Programs with Equilibrium Constraints.
Author: R. Tyrrell Rockafellar
Publisher: Springer Science & Business Media
ISBN: 3642024319
Category : Mathematics
Languages : en
Pages : 747
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Book Description
From its origins in the minimization of integral functionals, the notion of variations has evolved greatly in connection with applications in optimization, equilibrium, and control. This book develops a unified framework and provides a detailed exposition of variational geometry and subdifferential calculus in their current forms beyond classical and convex analysis. Also covered are set-convergence, set-valued mappings, epi-convergence, duality, and normal integrands.
Author: Areski Cousin
Publisher: Springer Science & Business Media
ISBN: 3642146597
Category : Mathematics
Languages : en
Pages : 374
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Book Description
The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.
Author: Martino Bardi
Publisher: Springer Science & Business Media
ISBN: 0817647554
Category : Science
Languages : en
Pages : 588
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Book Description
This softcover book is a self-contained account of the theory of viscosity solutions for first-order partial differential equations of Hamilton–Jacobi type and its interplay with Bellman’s dynamic programming approach to optimal control and differential games. It will be of interest to scientists involved in the theory of optimal control of deterministic linear and nonlinear systems. The work may be used by graduate students and researchers in control theory both as an introductory textbook and as an up-to-date reference book.
