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Author : A. Bensoussan
Release : 2011-08-18
Genre : Mathematics
Kind : eBook
Book Rating : 335/5 ( reviews)
Book Synopsis Applications of Variational Inequalities in Stochastic Control by : A. Bensoussan
Download or read book Applications of Variational Inequalities in Stochastic Control written by A. Bensoussan. This book was released on 2011-08-18. Available in PDF, EPUB and Kindle. Book excerpt: Applications of Variational Inequalities in Stochastic Control
Author : Alain Bensoussan
Release : 1982
Genre : Control theory
Kind : eBook
Book Rating : 438/5 ( reviews)
Book Synopsis Applications of Variational Inequalities in Stochastic Control by : Alain Bensoussan
Download or read book Applications of Variational Inequalities in Stochastic Control written by Alain Bensoussan. This book was released on 1982. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alain Bensoussan
Release : 1984
Genre : Calculus of variations
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Impulse Control and Quasi-variational Inequalities by : Alain Bensoussan
Download or read book Impulse Control and Quasi-variational Inequalities written by Alain Bensoussan. This book was released on 1984. Available in PDF, EPUB and Kindle. Book excerpt: "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 : Hang Zhu
Release : 1992
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Dynamic Programming and Variational Inequalities in Singular Stochastic Control by : Hang Zhu
Download or read book Dynamic Programming and Variational Inequalities in Singular Stochastic Control written by Hang Zhu. This book was released on 1992. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bernt Øksendal
Release : 2019-04-17
Genre : Business & Economics
Kind : eBook
Book Rating : 813/5 ( reviews)
Book Synopsis Applied Stochastic Control of Jump Diffusions by : Bernt Øksendal
Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal. This book was released on 2019-04-17. Available in PDF, EPUB and Kindle. Book excerpt: 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.
