The uniqueness of the solution for the definite problem of a parabolic variational inequality

DOI10.1186/S13660-016-1267-XMaRDI QIDQ2374200zbMATH OpenOpenAlexWikidataFDO

Authors Liping Song, Wanghui Yu

Publication date 14 December 2016

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13660-016-1267-x

zbMATH Keywords

definite problemJensen inequalitymaximum principlesparabolic variational inequalityuniqueness

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Variational inequalities (49J40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A free boundary problem coming from the perpetual American ESOs
• A parabolic variational inequality related to the perpetual American executive stock options
• Continuous-time stochastic control and optimization with financial applications
• Optimal exercise of executive stock options
• The equivalence between block exercise and unrestricted exercise of executive stock options
• Variational inequalities and the pricing of American options

Cited in

(4)

• A variational inequality arising from optimal exercise perpetual executive stock options
• Mathematical analysis of a variational inequality modelling perpetual executive stock options
• Uniqueness of the generalized solution of a parabolic type monge-ampere equation
• A parabolic variational inequality related to the perpetual American executive stock options

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