Download or read book Impulse Control and Quasi Variational Inequalities written by Alain Bensoussan and published by John Wiley & Sons. This book was released on 1987-12-01 with total page 704 pages. 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.
Download or read book Impulse Control and Quasi variational Inequalities written by Alain Bensoussan and published by Bordas Editions. This book was released on 1984 with total page 712 pages. 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.
Download or read book Impulse control for jump diffusions viscosity solutions of quasi variational inequalities and applications in bank risk management written by Roland C. Seydel and published by . This book was released on 2010 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Impulse Control and Quasi variational Inequities written by Alain Bensoussan and published by . This book was released on 1984 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Variational Inequalities and Frictional Contact Problems written by Anca Capatina and published by Springer. This book was released on 2014-09-16 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variational Inequalities and Frictional Contact Problems contains a carefully selected collection of results on elliptic and evolutionary quasi-variational inequalities including existence, uniqueness, regularity, dual formulations, numerical approximations and error estimates ones. By using a wide range of methods and arguments, the results are presented in a constructive way, with clarity and well justified proofs. This approach makes the subjects accessible to mathematicians and applied mathematicians. Moreover, this part of the book can be used as an excellent background for the investigation of more general classes of variational inequalities. The abstract variational inequalities considered in this book cover the variational formulations of many static and quasi-static contact problems. Based on these abstract results, in the last part of the book, certain static and quasi-static frictional contact problems in elasticity are studied in an almost exhaustive way. The readers will find a systematic and unified exposition on classical, variational and dual formulations, existence, uniqueness and regularity results, finite element approximations and related optimal control problems. This part of the book is an update of the Signorini problem with nonlocal Coulomb friction, a problem little studied and with few results in the literature. Also, in the quasi-static case, a control problem governed by a bilateral contact problem is studied. Despite the theoretical nature of the presented results, the book provides a background for the numerical analysis of contact problems. The materials presented are accessible to both graduate/under graduate students and to researchers in applied mathematics, mechanics, and engineering. The obtained results have numerous applications in mechanics, engineering and geophysics. The book contains a good amount of original results which, in this unified form, cannot be found anywhere else.
Download or read book Variational and Quasivariational Inequalities written by C. Baiocchi and published by John Wiley & Sons. This book was released on 1984 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Methods for Long term Impulse Control Problems in Finance written by Amélie Bélanger and published by . This book was released on 2008 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several of the more complex optimization problems in finance can be characterized as impulse control problems. Impulse control problems can be written as quasi-variational inequalities, which are then solved to determine the optimal control strategy. Since most quasi-variational inequalities do not have analytical solutions, numerical methods are generally used in the solution process. In this thesis, the impulse control problem framework is applied to value two complex long-term option-type contracts. Both pricing problems considered are cast as impulse control problems and solved using an implicit approach based on either the penalty method or the operator splitting scheme.
Download or read book Optimal Control and Partial Differential Equations written by José Luis Menaldi and published by IOS Press. This book was released on 2001 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains more than sixty invited papers of international wellknown scientists in the fields where Alain Bensoussan's contributions have been particularly important: filtering and control of stochastic systems, variationnal problems, applications to economy and finance, numerical analysis... In particular, the extended texts of the lectures of Professors Jens Frehse, Hitashi Ishii, Jacques-Louis Lions, Sanjoy Mitter, Umberto Mosco, Bernt Oksendal, George Papanicolaou, A. Shiryaev, given in the Conference held in Paris on December 4th, 2000 in honor of Professor Alain Bensoussan are included.
Download or read book Applied Functional Analysis written by Abul Hasan Siddiqi and published by CRC Press. This book was released on 2003-09 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: The methods of functional analysis have helped solve diverse real-world problems in optimization, modeling, analysis, numerical approximation, and computer simulation. Applied Functional Analysis presents functional analysis results surfacing repeatedly in scientific and technological applications and presides over the most current analytical and numerical methods in infinite-dimensional spaces. This reference highlights critical studies in projection theorem, Riesz representation theorem, and properties of operators in Hilbert space and covers special classes of optimization problems. Supported by 2200 display equations, this guide incorporates hundreds of up-to-date citations.
Download or read book Variational Analysis and Applications written by F. Giannessi and published by Springer Science & Business Media. This book was released on 2005-06-14 with total page 1348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses a new discipline, variational analysis, which contains the calculus of variations, differential calculus, optimization, and variational inequalities. To such classic branches of mathematics, variational analysis provides a uniform theoretical base that represents a powerful tool for the applications. The contributors are among the best experts in the field. Audience The target audience of this book includes scholars in mathematics (especially those in mathematical analysis), mathematical physics and applied mathematics, calculus of variations, optimization and operations research, industrial mathematics, structural engineering, and statistics and economics.
Download or read book Uncertainty Quantification in Variational Inequalities written by Joachim Gwinner and published by CRC Press. This book was released on 2021-12-24 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uncertainty Quantification (UQ) is an emerging and extremely active research discipline which aims to quantitatively treat any uncertainty in applied models. The primary objective of Uncertainty Quantification in Variational Inequalities: Theory, Numerics, and Applications is to present a comprehensive treatment of UQ in variational inequalities and some of its generalizations emerging from various network, economic, and engineering models. Some of the developed techniques also apply to machine learning, neural networks, and related fields. Features First book on UQ in variational inequalities emerging from various network, economic, and engineering models Completely self-contained and lucid in style Aimed for a diverse audience including applied mathematicians, engineers, economists, and professionals from academia Includes the most recent developments on the subject which so far have only been available in the research literature
Download or read book Fixed Point Theory and Applications written by Yeol Je Cho and published by Nova Publishers. This book was released on 2004 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed Point Theory & Applications, Volume 5
Download or read book Equadiff IV written by J. Fabera and published by Springer. This book was released on 2006-11-15 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book XII Symposium of Probability and Stochastic Processes written by Daniel Hernández-Hernández and published by Springer. This book was released on 2018-06-26 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the proceedings of the XII Symposium of Probability and Stochastic Processes which took place at Universidad Autonoma de Yucatan in Merida, Mexico, on November 16–20, 2015. This meeting was the twelfth meeting in a series of ongoing biannual meetings aimed at showcasing the research of Mexican probabilists as well as promote new collaborations between the participants. The book features articles drawn from different research areas in probability and stochastic processes, such as: risk theory, limit theorems, stochastic partial differential equations, random trees, stochastic differential games, stochastic control, and coalescence. Two of the main manuscripts survey recent developments on stochastic control and scaling limits of Markov-branching trees, written by Kazutoshi Yamasaki and Bénédicte Haas, respectively. The research-oriented manuscripts provide new advances in active research fields in Mexico. The wide selection of topics makes the book accessible to advanced graduate students and researchers in probability and stochastic processes.
Download or read book Theory of Functions and Its Applications written by Lev Semenovich Pontri︠a︡gin and published by American Mathematical Soc.. This book was released on 1977 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of papers and articles honoring Sergeĭ Mihaĭlovič Nikolʹskiĭ and detailing original scientific research in the theory of functions of one and several variables and the applications to differential equations.
Download or read book Vector Variational Inequalities and Vector Equilibria written by F. Giannessi and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with the mathematical theory of vector variational inequalities with special reference to equilibrium problems. Such models have been introduced recently to study new problems from mechanics, structural engineering, networks, and industrial management, and to revisit old ones. The common feature of these problems is that given by the presence of concurrent objectives and by the difficulty of identifying a global functional (like energy) to be extremized. The vector variational inequalities have the advantage of both the variational ones and vector optimization which are found as special cases. Among several applications, the equilibrium flows on a network receive special attention. Audience: The book is addressed to academic researchers as well as industrial ones, in the fields of mathematics, engineering, mathematical programming, control theory, operations research, computer science, and economics.
Download or read book A Stochastic Control Framework for Real Options in Strategic Evaluation written by Alexander Vollert and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
