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Gürkan, G., Özge, A.Y. and Robinson, S.M. (1996) Sample-Path Solution of Stochastic Variational Inequalities with Applications to Option Pricing. Proceedings Winter Simulation Conference, Coronado, 8-11 December 1996, 337-344.
https://doi.org/10.1145/256562.256646

has been cited by the following article:

• TITLE: A Projection and Contraction Method for P-Order Cone Constraint Stochastic Variational Inequality Problem

  AUTHORS: Mengdi Zheng, Xiaohui Xu, Juhe Sun

  KEYWORDS: Stochastic Variational Inequality, Sample Average Approximation, Projection and Contraction Method, Convergence Analysis, Numerical Experiments

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.10 No.4, April 12, 2022

  ABSTRACT: In this paper, we study the p-order cone constraint stochastic variational inequality problem. We first take the sample average approximation method to deal with the expectation and gain an approximation problem, further the rationality is given. When the underlying function is Lipschitz continuous, we acquire a projection and contraction algorithm to solve the approximation problem. In the end, the method is applied to some numerical experiments and the effectiveness of the algorithm is verified.