A projected algebraic multigrid method for linear complementarity problems
DOI10.4208/NMTMA.2011.M12SI05zbMATH Open1265.65124OpenAlexW4241164191WikidataQ110124780 ScholiaQ110124780MaRDI QIDQ4900837FDOQ4900837
Authors: Jari Toivanen, Cornelis W. Oosterlee 
Publication date: 24 January 2013
Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/nmtma.2011.m12si05
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linear complementarity problemobstacle problemsalgebraic multigridfinancial engineeringamerican options
Numerical optimization and variational techniques (65K10) Derivative securities (option pricing, hedging, etc.) (91G20) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Existence theories for optimal control problems involving partial differential equations (49J20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
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- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
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