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Deterministic minimax impulse control in finite horizon: the viscosity solution approach

Brahim El Asri (2013)

ESAIM: Control, Optimisation and Calculus of Variations

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.

Doubly reflected BSDEs with call protection and their approximation

Jean-François Chassagneux, Stéphane Crépey (2014)

ESAIM: Probability and Statistics

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...

Duality for a fractional variational formulation using η -approximated method

Sony Khatri, Ashish Kumar Prasad (2023)

Kybernetika

The present article explores the way η -approximated method is applied to substantiate duality results for the fractional variational problems under invexity. η -approximated dual pair is engineered and a careful study of the original dual pair has been done to establish the duality results for original problems. Moreover, an appropriate example is constructed based on which we can validate the established dual statements. The paper includes several recent results as special cases.

Dual-weighted goal-oriented adaptive finite elements for optimal control of elliptic variational inequalities

M. Hintermüller, R. H. W. Hoppe, C. Löbhard (2014)

ESAIM: Control, Optimisation and Calculus of Variations

A dual-weighted residual approach for goal-oriented adaptive finite elements for a class of optimal control problems for elliptic variational inequalities is studied. The development is based on the concept of C-stationarity. The overall error representation depends on primal residuals weighted by approximate dual quantities and vice versa as well as various complementarity mismatch errors. Also, a priori bounds for C-stationary points and associated multipliers are derived. Details on the numerical...

Dynamic contact problems with velocity conditions

Oanh Chau, Viorica Motreanu (2002)

International Journal of Applied Mathematics and Computer Science

We consider dynamic problems which describe frictional contact between a body and a foundation. The constitutive law is viscoelastic or elastic and the frictional contact is modelled by a general subdifferential condition on the velocity, including the normal damped responses. We derive weak formulations for the models and prove existence and uniqueness results. The proofs are based on the theory of second-order evolution variational inequalities. We show that the solutions of the viscoelastic problems...

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