Modelling, Analysis, Numerics and Applications Tsekrekos, Andrianos E. creator author. aut http://id.loc.gov/vocabulary/relators/aut Yannacopoulos, Athanasios N. author. aut http://id.loc.gov/vocabulary/relators/aut SpringerLink (Online service) text sz 2024 1st ed. 2024. monographic eng

electronic

electronic resource

access XIII, 179 p. 6 illus., 4 illus. in color. online resource. This book provides a rigorous introduction to the theory, computation, and applications of variational inequalities (VIs), with a focus on applications in management science and finance. It aims to bridge the gap between the abstract mathematical treatments of the subject and simplistic, non-rigorous approaches often used in financial economics or managerial literature. Building on fundamental examples of concrete applications drawn from management science and finance, the book gradually develops the connection between optimal stopping problems and variational inequalities. It provides precise results on their derivation, solution properties, and their use to derive optimal policies in general frameworks of stochastic factors driving the state processes. Emphasis is also placed on the numerical treatment and approximation of VIs. All technical results are illustrated in detail for the characteristic problems presented at the beginning as motivating examples. It also offers a brief introduction to more advanced topics, including VIs for multi-scale problems and VIs related to optimal stopping problems under model uncertainty. This book will be of interest to graduate students and researchers who wish for a quick, yet thorough introduction to the field. Practitioners who want to familiarise themselves with applications of VIs in management science and finance will also find this book useful. Modelling -- Analysis -- Numerics -- Applications. by Andrianos E. Tsekrekos, Athanasios N. Yannacopoulos. Operations research Management science Social sciences Mathematics Mathematical optimization Stochastic processes Operations Research and Decision Theory Operations Research, Management Science Mathematics in Business, Economics and Finance Optimization Stochastic Processes T57.6-.97 9783031741197 https://doi.org/10.1007/978-3-031-74119-7 https://doi.org/10.1007/978-3-031-74119-7 241220 20251030114630.0 978-3-031-74119-7