Impulse Control and Quasi Variational Inequalities

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.