Impulse Control and Quasi Variational Inequalities

By Alain Bensoussan, Jacques Louis Lions
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.




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About the Hardcover

Publisher John Wiley & Sons
Publish date 12/01/1987
Pages 0
ISBN-13 9780471918578
Language English