An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering |
scientific article |
Statements
An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (English)
0 references
5 September 2018
0 references
variational inequality
0 references
stochastic optimal control
0 references
American option pricing
0 references
HJB equation
0 references
linear complementarity problem
0 references
interior penalty method
0 references