Evolutionary variational inequalities applied to financial equilibrium problems in an environment of risk and uncertainty

DOI10.1016/j.na.2004.12.006zbMath1224.91117OpenAlexW2029312965MaRDI QIDQ999958

Patrizia Daniele

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2004.12.006

zbMATH Keywords

utility functionevolutionary variational inequalitiesrisk aversionprojected dynamical systems

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Multisectoral models in economics (91B66) Dynamical systems in optimization and economics (37N40) Portfolio theory (91G10)

Related Items (7)

New existence theorems for quasi-variational inequalities and applications to financial models ⋮ A Variational Approach to the Evolutionary Financial Equilibrium Problem with Memory Terms and Adaptive Constraints ⋮ Random variational inequalities and the random traffic equilibrium problem ⋮ Variational formulation for a general dynamic financial equilibrium problem: balance law and liability formula ⋮ The financial equilibrium problem with a Markowitz-type memory term and adaptive constraints ⋮ Variational approach for a general financial equilibrium problem: the deficit formula, the balance law and the liability formula. A path to the economy recovery ⋮ Functional Inequalities and Analysis of Contagion in the Financial Networks

Cites Work

• Variational inequalities and the pricing of American options
• Variational inequalities in the analysis and computation of multi-sector, multi-instrument financial equilibria
• Variational inequalities for international general financial equilibrium modeling and computation
• A projected dynamical systems model of general financial equilibrium with stability analysis
• Numerical schemes for investment models with singular transactions
• Time-dependent traffic equilibria
• Projected dynamical systems and evolutionary variational inequalities via Hilbert spaces with applications
• Variational inequalities and time-dependent traffic equilibria
• Formulation and computation of general financial equilibrium
• Finance and variational inequalities^*
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