An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver

DOI10.1137/080737277zbMath1210.35288OpenAlexW2037141346WikidataQ115155181 ScholiaQ115155181MaRDI QIDQ3083228

Moulay Hicham Tber

Publication date: 21 March 2011

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://unipub.uni-graz.at/doi/doi:10.1137/080737277

zbMATH Keywords

inverse problemoptimality conditionsAmerican optionsparabolic free boundary problemMPECsactive-set-Newton solver

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Inverse problems for PDEs (35R30) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35) Portfolio theory (91G10) Numerical methods for variational inequalities and related problems (65K15)

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A relaxation approach to vector-valued Allen-Cahn MPEC problems ⋮ A Penalty Approach to Optimal Control of Allen-Cahn Variational Inequalities: MPEC-View ⋮ Optimal Control of Elastic Vector-Valued Allen--Cahn Variational Inequalities ⋮ Convergence of discontinuous Galerkin schemes for front propagation with obstacles

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