In this paper, we study, iterative algorithms.for finding approximate solutions ofcompletely generalized strongly nonlinear quasivariational inequalities which include,as a special case, some known results in this .f...In this paper, we study, iterative algorithms.for finding approximate solutions ofcompletely generalized strongly nonlinear quasivariational inequalities which include,as a special case, some known results in this .field. Our results are the extension andimprovents of the results of Siddiqi and Ansari, Ding. and Zeng.展开更多
We propose a domain decomposition method for a system of quasivariational inequalities related to the HJB equation. The monotone convergence of the algorithm is also established.
A class of generalized parametric implicit quasi-variational inequalities is studied. Thereupon a new existence theorem of the solutions is proved and sensitivity of solutions for this kind of problems is analyzed.
In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk an...In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and the surplus earns interest at the constant force p 〉 0. Because of the presence of fixed transaction costs, the problem becomes a mixed classical-impulse stochastic control problem. We solve this problem explicitly and construct the value function together with the optimal policy展开更多
文摘In this paper, we study, iterative algorithms.for finding approximate solutions ofcompletely generalized strongly nonlinear quasivariational inequalities which include,as a special case, some known results in this .field. Our results are the extension andimprovents of the results of Siddiqi and Ansari, Ding. and Zeng.
基金Supported by the National Natural Science Foundation of China(No.10571046)
文摘We propose a domain decomposition method for a system of quasivariational inequalities related to the HJB equation. The monotone convergence of the algorithm is also established.
文摘A class of generalized parametric implicit quasi-variational inequalities is studied. Thereupon a new existence theorem of the solutions is proved and sensitivity of solutions for this kind of problems is analyzed.
基金The first author was supported by the National Natural Science Foundation of China （Grant Nos. 11001139, 11171164） and the Specialized Research Fund for the Doctoral Program of Higher Education （Grant No. 20100031120002）. The second author was supported by the National Natural Science Foundation of China （Grant No. 11101225）.
文摘In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and the surplus earns interest at the constant force p 〉 0. Because of the presence of fixed transaction costs, the problem becomes a mixed classical-impulse stochastic control problem. We solve this problem explicitly and construct the value function together with the optimal policy
