Search for tag: "variational inequality"

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Lecture 6 duration 1 hour 55 minutes Lecture 6 Lecture 6	Lecture 6 Links between singular stochastic control and optimal stopping problems and games: the one-dimensional Markov setting, and a more general non-Markovian setting. singular control optimal stopping stochastic games variational inequality free boundary change of variable non-markovian problems From Tiziano Vargiolu 6 plays 0
Lecture 5 duration 1 hour 56 minutes Lecture 5 Lecture 5	Lecture 5 Solution of the problem in terms of value function and optimal policy. reflected processes skorohod problem variational inequality verification theorem From Tiziano Vargiolu 3 plays 0
Lecture 4 duration 1 hour 34 minutes Lecture 4 Lecture 4	Lecture 4 A general one-dimensional singular control problem. Verification Theorem and solution. verification theorem free boundary fundamental solutions scale function speed measure variational inequality From Tiziano Vargiolu 4 plays 0
Lecture 3 duration 1 hour 28 minutes Lecture 3 Lecture 3	Lecture 3 Links between singular stochastic control and stochastic optimal stopping problems. A general one-dimensional singular control problem. Concepts of resolvent, scale function and speed measure of… singular control optimal stopping variational inequality free boundary obstacle problem scale function speed measure resolvent From Tiziano Vargiolu 8 plays 0
Lecture 2 duration 1 hour 36 minutes Lecture 2 Lecture 2	Lecture 2 Proof of the Verification Theorem. variational inequality verification theorem From Tiziano Vargiolu 10 plays 0
Lecture 1 duration 1 hour 43 minutes Lecture 1 Lecture 1	Lecture 1 Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem. singular control stochastic control value function variational inequality hamilton-jacobi-bellman equation verification theorem From Tiziano Vargiolu 12 plays 0