Abstract. We consider the use of finite volume methods for the approximation of a parabolic variational inequality arising in financial mathematics. We show, under some regularity conditions, the convergence of the upwind implicit finite volume scheme to a weak solution of the variational inequality in a bounded domain. Some results, obtained in comparison with other methods on two dimensional ...

We introduce and study a new system of generalized nonlinear relaxed cocoercive inequality problems and construct an iterative algorithm for approximating the solutions of the system of generalized relaxed cocoercive variational inequalities in Hilbert spaces. We prove the existence of the solutions for the system of generalized relaxed cocoercive variational inequality problems and the converg...

This paper addresses Henig efficiency of a multi-product network equilibrium model based on Wardrop’s principle. We show that in both the single and multiple criteria cases, such proper efficiency can be recast as a vector variational inequality. In the multiple criteria case, we derive a sufficient and a necessary condition for Henig efficiency in terms of a vector variational inequality by us...

In this paper, we consider a generalized nonlinear variational inequality problem involving single valued and multivalued nonlinear operators. We also study criteria of its solvability. Iterative methods for approximate solution are also proposed and a convergence result is established. Further, we study iterative methods for finding common element of fixed point set of nonexpansive mapping and...

We consider control problems for the variational inequality describing a single degree of freedom elasto-plastic oscillator. We are particularly interested in finding the ”critical excitation”, i.e., the lowest energy input excitation that drives the system between the prescribed initial and final states within a given time span. This is a control problem for a state evolution described by a va...

We introduce augmented Lagrangian methods for solving finite dimensional variational inequality problems whose feasible sets are defined by convex inequalities, generalizing the proximal augmented Lagrangian method for constrained optimization. At each iteration, primal variables are updated by solving an unconstrained variational inequality problem, and then dual variables are updated through ...

We introduce a projection-type algorithm for solving monotone variational inequality problems in real Hilbert spaces. We prove that the whole sequence of iterates converges strongly to a solution of the variational inequality. The method uses only two projections onto the feasible set in each iteration in contrast to other strongly convergent algorithms which either require plenty of projection...

In this paper we study stopping time and impulse control problems for stochastic Navier-Stokes equation. Exploiting a local monotonicity property of the nonlinearity, we establish existence and uniqueness of strong solutions in two dimensions which gives a Markov-Feller process. The variational inequality associated with the stopping time problem and the quasi-variational inequality associated ...

Among the central concerns in mathematical finance is the evaluation of American options. An American option gives the holder the right but not the obligation to buy or sell a certain financial asset within a certain time-frame, for a certain strike price. The valuation of American options is formulated as an optimal stopping problem. If the stock price is modelled by a geometric Brownian motio...

We provide an index formula for solutions of variational inequality problems defined by a continuously differentiable function F over a convex set M represented by a finite number of inequality constraints. Our index formula can be applied when the solutions are non-singular and possibly degenerate, as long as they also satisfy the injective normal map (INM) property, which is implied by strong...