Numerical solution of variational inequalities: localization with Dirichlet conditions
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Publication:380731
zbMath1285.60055MaRDI QIDQ380731
Publication date: 14 November 2013
Published in: African Diaspora Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.adjm/1374153551
variational inequalitiesviscosity solutionsAmerican optionforwards backwards stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Local time and additive functionals (60J55)
Cites Work
- Adapted solution of a backward stochastic differential equation
- Mathematics of financial markets
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- Generalized BSDEs and nonlinear Neumann boundary value problems
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- User’s guide to viscosity solutions of second order partial differential equations
- Backward Stochastic Differential Equations in Finance
- Reflected forward-backward SDEs and obstacle problems with boundary conditions
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