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.
We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another ...We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another one,driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion.We derive a maximum principle and the associated stochastic variational inequality,which both are generalizations of the classical case.展开更多
This paper presents sensitivity analysis for parameterized variational inequality problems (VIP). Under appropriate assumption, it is shown that the perturbed solution to parameterized VIP is existent, unique, continu...This paper presents sensitivity analysis for parameterized variational inequality problems (VIP). Under appropriate assumption, it is shown that the perturbed solution to parameterized VIP is existent, unique, continuous and differentiable with respect to perturbation parameter. In the case of differentiability, we derive the equations for calculating the derivative of solution variables with respect to the perturbation parameters.展开更多
基金This research is supported by National Natural Science Foundation of China (69972036) Shaanxi Province's Natural Science Research Project (2000SL03).
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supported by National Natural Science Foundation of China(Grant No11301560)
文摘We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another one,driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion.We derive a maximum principle and the associated stochastic variational inequality,which both are generalizations of the classical case.
基金This research is partially supported by Key Laboratory of Management, Decision and Information Systems,CAS and National Science Foundations of China.
文摘This paper presents sensitivity analysis for parameterized variational inequality problems (VIP). Under appropriate assumption, it is shown that the perturbed solution to parameterized VIP is existent, unique, continuous and differentiable with respect to perturbation parameter. In the case of differentiability, we derive the equations for calculating the derivative of solution variables with respect to the perturbation parameters.
