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.
- ISBN10 0471918571
- ISBN13 9780471918578
- Publish Date 9 March 1984
- Publish Status Out of Print
- Out of Print 4 February 2005
- Publish Country GB
- Publisher John Wiley and Sons Ltd
- Imprint John Wiley & Sons Ltd
- Format Hardcover
- Pages 704
- Language English