A maximum principle for the stochastic variational inequalities

Statistics & Probability Letters ◽

10.1016/j.spl.2016.04.022 ◽

2016 ◽

Vol 116 ◽

pp. 116-121

Author(s):

Siyan Xu ◽

Mengqi Zheng

Keyword(s):

Maximum Principle ◽

Variational Inequalities ◽

Stochastic Variational Inequalities

Download Full-text

A First-order Method for Monotone Stochastic Variational Inequalities on Semidefinite Matrix Spaces

2019 American Control Conference (ACC) ◽

10.23919/acc.2019.8814737 ◽

2019 ◽

Author(s):

Nahidsadat Majlesinasab ◽

Farzad Yousefian ◽

Mohammad Javad Feizollahi

Keyword(s):

Variational Inequalities ◽

Order Method ◽

Stochastic Variational Inequalities ◽

First Order ◽

First Order Method ◽

Matrix Spaces ◽

Semidefinite Matrix

Download Full-text

Backward Stochastic Variational Inequalities with Locally Bounded Generators

Annals of the Alexandru Ioan Cuza University - Mathematics ◽

10.2478/aicu-2013-0023 ◽

2014 ◽

Vol 60 (2) ◽

Author(s):

Lucian Maticiuc ◽

Aurel Răşcanu ◽

Adrian Zălinescu

Keyword(s):

Variational Inequalities ◽

Stochastic Variational Inequalities

Download Full-text

Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging

Mathematical Programming ◽

10.1007/s10107-018-1251-y ◽

2018 ◽

Vol 174 (1-2) ◽

pp. 453-471 ◽

Author(s):

R. Tyrrell Rockafellar ◽

Jie Sun

Keyword(s):

Variational Inequalities ◽

Complementarity Problems ◽

Stochastic Variational Inequalities ◽

Progressive Hedging

Download Full-text

Deterministic Bicriteria Model for Stochastic Variational Inequalities

Journal of the Operations Research Society of China ◽

10.1007/s40305-017-0190-2 ◽

2018 ◽

Vol 6 (4) ◽

pp. 507-527

Author(s):

Xin-Min Yang ◽

Yong Zhao ◽

Gui-Hua Lin

Keyword(s):

Variational Inequalities ◽

Stochastic Variational Inequalities

Download Full-text

Incremental Constraint Projection Methods for Monotone Stochastic Variational Inequalities

Mathematics of Operations Research ◽

10.1287/moor.2017.0922 ◽

2018 ◽

Author(s):

Alfredo N. Iusem ◽

Alejandro Jofré ◽

Philip Thompson

Keyword(s):

Variational Inequalities ◽

Projection Methods ◽

Stochastic Variational Inequalities

Download Full-text

Support theorem for stochastic variational inequalities

Bulletin des Sciences Mathématiques ◽

10.1016/j.bulsci.2010.05.001 ◽

2010 ◽

Vol 134 (8) ◽

pp. 826-856 ◽

Author(s):

Jiagang Ren ◽

Siyan Xu

Keyword(s):

Variational Inequalities ◽

Stochastic Variational Inequalities ◽

Support Theorem

Download Full-text

Generalized backward stochastic variational inequalities driven by a fractional Brownian motion

Brazilian Journal of Probability and Statistics ◽

10.1214/15-bjps291 ◽

2016 ◽

Vol 30 (3) ◽

pp. 502-519

Author(s):

Dariusz Borkowski ◽

Katarzyna Jańczak-Borkowska

Keyword(s):

Brownian Motion ◽

Variational Inequalities ◽

Fractional Brownian Motion ◽

Stochastic Variational Inequalities

Download Full-text

Stochastic variational inequalities with oblique subgradients

Stochastic Processes and their Applications ◽

10.1016/j.spa.2012.04.012 ◽

2012 ◽

Vol 122 (7) ◽

pp. 2668-2700 ◽

Author(s):

Anouar M. Gassous ◽

Aurel Răşcanu ◽

Eduard Rotenstein

Keyword(s):

Variational Inequalities ◽

Stochastic Variational Inequalities

Download Full-text

Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities

Mathematical Programming ◽

10.1007/s10107-016-1046-y ◽

2016 ◽

Vol 165 (1) ◽

pp. 151-196 ◽

Author(s):

Michael Lamm ◽

Shu Lu ◽

Amarjit Budhiraja

Keyword(s):

Variational Inequalities ◽

Confidence Intervals ◽

Expected Value ◽

Stochastic Variational Inequalities

Download Full-text

Sample-path solution of stochastic variational inequalities, with applications to option pricing

Proceedings of the 28th conference on Winter simulation - WSC '96 ◽

10.1145/256562.256646 ◽

1996 ◽

Author(s):

Gül Gürkan ◽

A. Yonca Özge ◽

Stephen M. Robinson

Keyword(s):

Variational Inequalities ◽

Option Pricing ◽

Sample Path ◽

Stochastic Variational Inequalities

Download Full-text