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001 978-3-031-74119-7
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020 _a9783031741197
_9978-3-031-74119-7
024 7 _a10.1007/978-3-031-74119-7
_2doi
050 4 _aT57.6-.97
072 7 _aKJT
_2bicssc
072 7 _aKJMD
_2bicssc
072 7 _aBUS049000
_2bisacsh
072 7 _aKJT
_2thema
072 7 _aKJMD
_2thema
100 1 _aTsekrekos, Andrianos E.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_989252
245 1 0 _aVariational Inequalities in Management Science and Finance
_h[electronic resource] :
_bModelling, Analysis, Numerics and Applications /
_cby Andrianos E. Tsekrekos, Athanasios N. Yannacopoulos.
250 _a1st ed. 2024.
264 1 _aCham :
_bSpringer Nature Switzerland :
_bImprint: Springer,
_c2024.
300 _aXIII, 179 p. 6 illus., 4 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aEURO Advanced Tutorials on Operational Research,
_x2364-6888
505 0 _aModelling -- Analysis -- Numerics -- Applications.
520 _aThis 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.
650 0 _aOperations research.
_957943
650 0 _aManagement science.
_957941
650 0 _aSocial sciences
_xMathematics.
_969736
650 0 _aMathematical optimization.
_965522
650 0 _aStochastic processes.
_976770
650 1 4 _aOperations Research and Decision Theory.
_967143
650 2 4 _aOperations Research, Management Science.
_965527
650 2 4 _aMathematics in Business, Economics and Finance.
_969739
650 2 4 _aOptimization.
_965528
650 2 4 _aStochastic Processes.
_976770
700 1 _aYannacopoulos, Athanasios N.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_989253
710 2 _aSpringerLink (Online service)
773 0 _tSpringer Nature eBook
776 0 8 _iPrinted edition:
_z9783031741180
776 0 8 _iPrinted edition:
_z9783031741203
776 0 8 _iPrinted edition:
_z9783031741210
830 0 _aEURO Advanced Tutorials on Operational Research,
_x2364-6888
_989254
856 4 0 _uhttps://doi.org/10.1007/978-3-031-74119-7
912 _aZDB-2-BUM
912 _aZDB-2-SXBM
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