A penalty approximation method for a semilinear parabolic double obstacle problem
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Publication:480830
DOI10.1007/S10898-013-0122-6zbMATH Open1304.49025OpenAlexW2083276157MaRDI QIDQ480830FDOQ480830
Yuying Zhou, Xiao Qi Yang, Song Wang
Publication date: 11 December 2014
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-013-0122-6
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variational inequalitycomplementarity problemdouble obstacle problemglobal optimizerparabolic differential operatorpenalty approximation method
Variational inequalities (49J40) Unilateral problems for elliptic systems and systems of variational inequalities with elliptic operators (35J88)
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Cited In (18)
- Solution method for discrete double obstacle problems based on a power penalty approach
- Penalty approximation method for a double obstacle quasilinear parabolic variational inequality problem
- A power penalty approach to a mixed quasilinear elliptic complementarity problem
- An interior penalty approach to a large-scale discretized obstacle problem with nonlinear constraints
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- A power penalty approach to a discretized obstacle problem with nonlinear constraints
- The interpolating element-free Galerkin method for the \(p\)-Laplace double obstacle mixed complementarity problem
- Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing
- An Approximating Approach to an Optimal Control Problem for an Elliptic Variational Inequality on a Mixed Boundary⋆
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process
- Penalty methods for one-sided parabolic problems with piecewise smooth obstacles
- Projection/fixed point method for solving a semilinear obstacle problem
- An unconstrained differentiable penalty method for implicit complementarity problems
- A penalty approach to a discretized double obstacle problem with derivative constraints
- A penalty method for some nonlinear variational obstacle problems
- Simultaneous distributed-boundary optimal control problems driven by nonlinear complementarity systems
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