Impulse Control and Quasi Variational Inequalities
Impulse Control and Quasi Variational Inequalities
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Author(s): Bensoussan, Alain
ISBN No.: 9780471918578
Pages: 704
Year: 198712
Format: Trade Cloth (Hard Cover)
Price: $ 154.00
Status: Out Of Print

Partial table of contents:EXAMPLES OF THE APPLICATION OF STOCHASTIC CONTROL AND IMPULSE CONTROL TO MANAGEMENT PROBLEMS.Stock Management.Production Management.Stochastic Control Problems in Finance.Medical Applications.OPTIMAL STOPPING TIME PROBLEMS FOR REFLECTED DIFFUSION PROBLEMS.Sub-Martingale Problems.Evolutionary Variational Inequalities with Neumann Boundary Conditions.


Games Problems.Non-Linear Problems.STOPPING TIMES AND STOCHASTIC CONTROL RELATED TO DIFFUSIONS.Hamilton-Jacobi-Bellman Variational Inequalities.Differential Calculus and Stochastic Integrals.Interpretation of Solutions of Equations.QUASI-VARIATIONAL INEQUALITIES OF ELLIPTIC TYPE.Regularity.


Unbounded Open Sets.Semi-Groups Approach.Continuity Methods and Other Methods.EVOLUTIONARY QUASI-VARIATIONAL INEQUALITIES.Parabolic Q.V.I.'s of Impulse Control.


Approximate Semi-Group for the Inequality with Implicit Obstacle.IMPULSE CONTROL AND THE INTERPRETATION OF QUASI-VARIATIONAL INEQUALITIES.Interpretation of Iterative Methods.Unbounded Case.Probabilistic Interpretation of Semi-Group Formulations.Bibliography.


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