In this paper, we study the agent’s optimal quitting in a continuous-time principal-agent problem, where the agent is payed once at the end of the contract. In a jump diffusion setting, we formulate the agency problem as a combined optimal stopping and stochastic control problem in weak formulation. To find the solutions, we develop the classical verification theorem in terms of Variational Ine...

In this paper, we consider numerical approximations of a contact problem in rate-type viscoplasticity. The contact conditions are described in term of a subdiierential and include as special cases some classical frictionless boundary conditions. The contact problem consists of an evolution equation coupled with a time-dependent variational inequality. Error estimates for both spatially semi-dis...

The existence of an equilibrium in an extended Walrasian economic model of exchange is confirmed constructively by an iterative scheme. In this scheme, truncated variational inequality problems are solved in which the agents’ budget constraints are relaxed by a penalty representation. Epi-convergence arguments are employed to show that, in the limit, a virtual equilibrium is obtained, if not ac...

A classical tool in nonlinear analysis is the notion of an approximating curve, whereby a particular solution to a nonuniquely solvable problem is obtained as the limit of the solutions to uniquely solvable perturbed problems. We introduce and analyze new types of approximating curves for nonexpansive fixed point problems and monotone inclusion problems in Hilbert spaces. The solution attained ...

The classical Sobolev and Escobar inequalities are embedded into the same oneparameter family of sharp trace-Sobolev inequalities on half-spaces. Equality cases are characterized for each inequality in this family by tweaking a well-known mass transportation argument. The case of the Dirichlet energy corresponds to a family of variational problems on conformally flat metrics, whose absolute min...

Nonsmooth analysis, inequality constrained optimization and variational inequalities are involved in the modelling of unilateral contact problems. The corresponding theoretical and algorithmic tools, which are part of the area known as nonsmooth mechanics, are by no means classical. In general purpose software some of these tools (perhaps in a simplified way) are currently available. Two engine...

For variational inequalities, various merit functions, such as the gap function, the regularized gap function, the D-gap function and so on, have been proposed. These functions lead to equivalent optimization formulations and are used to optimization-based methods for solving variational inequalities. In this paper, we extend the regularized gap function and the D-gap functions for a quasi-vari...

In this paper, we consider the algorithm proposed in recent years by Censor, Gibali and Reich, which solves split variational inequality problem, and Korpelevich's extragradient method, which solves variational inequality problems. As our main result, we propose an iterative method for finding an element to solve a class of split variational inequality problems under weaker conditions and get a...

We consider the calibration of a Lévy process with American vanilla options. The price of an American vanilla option as a function of the maturity and the strike satisfies a forward in time linear complementarity problem involving a partial integro-differential operator. It leads to a variational inequality in a suitable weighted Sobolev space. Calibrating the Lévy process amounts to solving an...

In this paper, we introduce a new class of general mixed vector F -implicit complementarity problems and general mixed vector F -implicit variational inequality problems, and study the equivalence between of them under certain assumptions in Banach spaces. We also derive some new existence theorems of solutions for the general mixed vector F -implicit complementarity problems and the general mi...