Convergence analysis of the iterative methods for quasi-complementarity problems.
This paper deals with the theory of linear elliptic partial differential equations with bounded measurable coefficients. We construct in two dimensions examples of weak and so-called very weak solutions, with critical integrability properties, both to isotropic equations and to equations in non-divergence form. These examples show that the general theory, developed in [1, 24] and [2], cannot be extended under any restriction on the essential range of the coefficients. Our constructions are based...
It is noted that the examples provided in the paper "Two-dimensional examples of rank-one convex functions that are not quasiconvex" by M. K. Benaouda and J. J. Telega, Ann. Polon. Math. 73 (2000), 291-295, contain unrecoverable errors.
We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover, the value function is characterized as the unique viscosity solution of an Isaacs quasi-variational inequality. This problem is in relation with an application in mathematical finance.
We study the numerical approximation of doubly reflected backward stochastic differential equations with intermittent upper barrier (RIBSDEs). These denote reflected BSDEs in which the upper barrier is only active on certain random time intervals. From the point of view of financial interpretation, RIBSDEs arise as pricing equations of game options with constrained callability. In a Markovian set-up we prove a convergence rate for a time-discretization scheme by simulation to an RIBSDE. We also...