The main result of this paper characterises the continuity from below of monotone functionals on the space Cbof bounded continuous functions on an arbitrary Polish space as lower semicontinuity in the mixed topology. In this particular situation, the mixed topology coincides with the Mackey...

In this paper we consider the dividend payments and capital injections control problem in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. The objective is to maximize the...

A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...

In this paper, we first generalize a foundational quasi-variational inequality (Theorem 3) which plays a key role throughout this paper by relaxing the compactness condition. Then we set up general forms of (generalized) quasi-variational inequalities and obtain a series of existence theorems...

We model the pricing decisions of a multi-product firm that faces a fixed 'menu' cost: once the cost is paid, the firm can adjust the price of all its products. We characterize analytically the steady state firm’s decision in terms of the structural parameters: the variability of the flexible...

We investigate a portfolio optimization problem for an agent who invests in two assets, a risk-free and a risky asset modeled by a geometric Brownian motion. The investor faces both fixed and proportional transaction costs and liquidity constraints. His objective is to maximize the expected...

Generalized Nash equilibrium problems are important examples of quasi-equilibrium problems. The aim of this paper is to study a general class of algorithms for solving such problems. The method is a hybrid extragradient method whose second step consists in finding a descent direction for the...

The aim of this paper is to solve the fixed point problems: $$ v=\mathcal{O}v,\quad \hbox{with}\, \mathcal{O}v(x) \mathop{=}^{\rm def} \max (Lv(x), Bv(x) ), x \in \varepsilon, \quad (1)$$ where $$\varepsilon$$ is a finite set, L is contractive and B is a nonexpansive operator and $$...