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Variational inequalities in manageme...

Tsekrekos, Andrianos E.

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Variational inequalities in management science and finance = modelling, analysis, numerics and applications /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Variational inequalities in management science and finance/ by Andrianos E. Tsekrekos, Athanasios N. Yannacopoulos.
Reminder of title:	modelling, analysis, numerics and applications /
Author:	Tsekrekos, Andrianos E.
other author:	Yannacopoulos, A. N.
Published:	Cham :Springer Nature Switzerland : : 2024.,
Description:	xiii, 179 p. :ill. (some col.), digital ;24 cm.
[NT 15003449]:	Modelling -- Analysis -- Numerics -- Applications.
Contained By:	Springer Nature eBook
Subject:	Variational inequalities (Mathematics) -
Online resource:	https://doi.org/10.1007/978-3-031-74119-7
ISBN:	9783031741197

Variational inequalities in management science and finance = modelling, analysis, numerics and applications /
Tsekrekos, Andrianos E.

Variational inequalities in management science and financemodelling, analysis, numerics and applications /[electronic resource] :by Andrianos E. Tsekrekos, Athanasios N. Yannacopoulos. - Cham :Springer Nature Switzerland :2024. - xiii, 179 p. :ill. (some col.), digital ;24 cm. - EURO advanced tutorials on operational research,2364-6888. - EURO advanced tutorials on operational research..

Modelling -- Analysis -- Numerics -- Applications.

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.

ISBN: 9783031741197

Standard No.: 10.1007/978-3-031-74119-7doiSubjects--Topical Terms:

712918
Variational inequalities (Mathematics)

LC Class. No.: QA316

Dewey Class. No.: 515.64

Variational inequalities in management science and finance = modelling, analysis, numerics and applications /
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