Applications of Variational Inequalities in Stochastic Control
Published on 14. May 2014
577 pages
978-0-08-087533-0 (ISBN)
Description
Applications of Variational Inequalities in Stochastic Control
More details
Series
Language
English
Place of publication
Burlington
Netherlands
Product notice
Windows
ISBN-13
978-0-08-087533-0 (9780080875330)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
A. Bensoussan | J.-L. Lions
Applications of Variational Inequalities in Stochastic Control: Volume 12
Book
04/2000
North-Holland
€107.70
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Content
- Front Cover
- Applications of Variational Inequalities in Stochastic Control
- Copyright Page
- TABLE OF CONTENTS
- Chapter 1 : General introduction to optimal stopping-time problems
- 1. Synopsis
- 2. Fomal description of stopping time problems
- 3. Analytic characterisation by dynamic programing
- 4. Examples of optimal stopping-time problems
- 5. Optimal stopping-time problems and free boundary problems
- 6. Generalisations
- 7. Various characterisations of the optimal cost function
- Chapter 2 : Stochastic differential equations and linear partial differential equations of second order
- Introduction
- 1. Review of the calculation of probabilities and the theory of stochastic processes
- 2. Stochastic integrals
- 3. Stochastic differential equations : strong formulation
- 4. Stochastic differential equations : weak formulation
- Synopsis
- 5. Linear elliptic partial differential equations of second order
- Synopsis
- 6. Linear partial differential equations of second order, of parabolic type
- Synopsis
- 7. Probabilistic interpretation of the solution of boundary value problems of second order
- 8. Markov process associated with the solution of a stochastic differential equation
- Chapter 3 : Optimal stopping-time problems and variational inequalities
- Introduction
- 1. Stationary variational inequalities
- 2. Evolutionary variational inequalities
- 3. Optimal stopping-time problems. Stationary case
- 4. Optimal stopping-time problems - evolutionary case
- 5. Stochastic differential games with stopping times
- Synopsis
- Chapter 4 : Stopping-time and stochastic optimal-control problems
- Introduction
- 1. Control by "continuous variable" and by stopping time
- 2. Review material on the Hamilton-Jacobi equation
- Synopsis
- 3. The Hamilton-Jacobi inequality. Operator not in divergence form
- 4. Hamilton-Jacobi variational inequalities
- 5. Optimal control and stopping times with polynomial growth
- 6. The principle of separation
- BIBLIOGRAPHY
