scientific article; zbMATH DE number 488339
From MaRDI portal
Publication:4277766
zbMath0831.49024MaRDI QIDQ4277766
Publication date: 19 January 1994
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
variational inequalitiescomparison principlenonlinear elliptic partial differential equationsviscosity solutionsobstable problems
Variational inequalities (49J40) Nonlinear boundary value problems for linear elliptic equations (35J65) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (15)
Stochastic impulse control problem with state and time dependent cost functions ⋮ Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions ⋮ Optimal investment for retail investors ⋮ A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions ⋮ Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets ⋮ Utility maximisation in a factor model with constant and proportional transaction costs ⋮ A model of optimal portfolio selection under liquidity risk and price impact ⋮ Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II ⋮ Backward SDEs with constrained jumps and quasi-variational inequalities ⋮ Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions ⋮ Weakly Chained Matrices, Policy Iteration, and Impulse Control ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems ⋮ A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates ⋮ Optimal execution strategy in the presence of permanent price impact and fixed transaction cost ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit
This page was built for publication: