In finance and economics the key dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, discrete time approximations are required. In this paper we give a...

The creation and ongoing management of a large economic model can be greatly simplified if the model is managed in separate smaller pieces defined, e.g. by region or commodity. For this purpose, we define an extension of Dantzig–Wolfe decomposition for the variational inequality (VI) problem,...