Search for tag: "verification theorem"

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 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