2011 Fiscal Year Final Research Report
Theory of viscosity solutions for nonlinear variational inequalities and its applications
| Project/Area Number |
21540188
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Basic analysis
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| Research Institution | Ehime University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
KAWAGUCHI Kazuhito 愛媛大学, 法文学部, 准教授 (30234040)
ISHIKAWA Yasushi 愛媛大学, 大学院・理工学研究科, 准教授 (70202976)
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| Project Period (FY) |
2009 – 2011
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| Keywords | 変分不等式 / 粘性解 / penalty法 / 幾何ブラウン運動 / 確率制御 |
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| Research Abstract |
The study explored the optimization problem to maximize the utility function for the state described by the stochastic differential equations and the problem of nonlinear variational inequalities on mathematical economics. The research results can be summarized as follows:
(1) Publication of a book
This book provides the mathematical foundation for broader applications to mathematical economics.
(2) Development of the penalty method
The penalty equations are developed to solve nonlinear variational inequalities with gradient constraint.
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