An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
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Publication:2295323
DOI10.1016/J.APM.2017.07.038zbMath1480.90242OpenAlexW2741966427MaRDI QIDQ2295323
Publication date: 12 February 2020
Published in: Applied Mathematical Modelling (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/66879
variational inequalityoption pricingnonlinear complementarity problemdouble obstacle probleminterior penalty method
Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Interior-point methods (90C51)
Related Items (10)
Numerical solution of an obstacle problem with interval coefficients ⋮ On necessary optimality conditions and exact penalization for a constrained fractional optimal control problem ⋮ Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method ⋮ An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints ⋮ Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization ⋮ On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ A power penalty approach to a mixed quasilinear elliptic complementarity problem ⋮ Penalty method for indifference pricing of American option in a liquidity switching market ⋮ A new semismooth Newton method for solving finite-dimensional quasi-variational inequalities
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