Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 5 of 5 for “"quasi-variational inequality"”.
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A pure-jump market-making model for high-frequency trading
… using classical Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI), so we extend the framework of constrained forward backward stochastic differential equation (CFBSDE) to solve our optimal control problem.</p>
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Nash equilibrium problems in power markets and product design: Analysis and algorithms
… by a solvable monotone single-valued variational inequality. If the risk-measures are generalized to allow for strategic interactions, then the characterization is through a multi-valued variational inequality. Both this object and its single-valued counterpart, arising from the …
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On the analysis of stochastic optimization and variational inequality problems
… problem classes: [(1)] Convex Nash games; [(2)] Variational inequality problems and complementarity problems; [(3)] Hierarchical risk management problems in financial networks. Accordingly, this dissertation considers the analysis of a broad class of stochastic optimization and variational …
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Variational Analysis In Parametric Optimization
… dissertation is devoted to the development of variational analysis and generalized differentiation in infinite dimensions. We derive new calculus rules for both first-order partial subdifferentials and second-order partial subdifferentials in the framework of general Banach spaces as well as …
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Generalized Nash games with shared constraints: Existence, efficiency, refinement and equilibrium constraints
… intractable and a smaller subset of them (called variational equilibria or VE) satisfying an exogenous regularity condition that are well-posed and surprisingly tractable. We seek to clarify the nature of these equilibria, study their economic implications and exploit their properties to advance …