The following pages link to (Q3935745):
Displaying 50 items.
- Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality (Q282076) (← links)
- Solving a system of split variational inequality problems (Q292104) (← links)
- Regularity results for nonlinear parabolic obstacle problems with subquadratic growth (Q329255) (← links)
- Asset liquidity and the valuation of derivative securities (Q442747) (← links)
- Pricing American bond options using a penalty method (Q445080) (← links)
- Existence of localizable solutions to nonlinear parabolic problems with irregular obstacles (Q487153) (← links)
- A box-constrained differentiable penalty method for nonlinear complementarity problems (Q496621) (← links)
- Existence results for quasi-variational inequalities with multivalued perturbations of maximal monotone mappings (Q511838) (← links)
- Explicit formula for the optimal government debt ceiling (Q513084) (← links)
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options (Q534248) (← links)
- Semismooth Newton and Newton iterative methods for HJB equation (Q544221) (← links)
- Monte Carlo algorithms for optimal stopping and statistical learning (Q558680) (← links)
- The valuation of foreign currency options under stochastic interest rates (Q597318) (← links)
- On linear elliptic and parabolic equations with growing drift in Sobolev spaces without weights (Q613677) (← links)
- Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form (Q655320) (← links)
- Strong solutions for two-sided parabolic variational inequalities related to an elliptic part of p-Laplacian type (Q692840) (← links)
- A numerical analysis of variational valuation techniques for derivative securities (Q702595) (← links)
- Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles (Q722074) (← links)
- On the valuation of interest rate products under multi-factor HJM term-structures (Q731956) (← links)
- Optimal stopping with irregular reward functions (Q734634) (← links)
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis (Q744236) (← links)
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs (Q744977) (← links)
- Large-time behavior for obstacle problems for degenerate viscous Hamilton-Jacobi equations (Q745581) (← links)
- Computation of generalized differentials in nonlinear complementarity problems (Q763389) (← links)
- Convergence of simultaneous distributed-boundary parabolic optimal control problems (Q827683) (← links)
- The method of characteristics for Hamilton-Jacobi equations and applications to dynamical optimization (Q873799) (← links)
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
- Iterative approximation of a unique solution of a system of variational-like inclusions in real \(q\)-uniformly smooth Banach spaces (Q881622) (← links)
- Higher integrability for solutions to parabolic problems with irregular obstacles and nonstandard growth (Q898892) (← links)
- Free boundary and optimal stopping problems for American Asian options (Q928494) (← links)
- Martingale approach to stochastic differential games of control and stopping (Q941305) (← links)
- Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators (Q946220) (← links)
- Convergence analysis of a monotonic penalty method for American option pricing (Q950483) (← links)
- Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (Q952084) (← links)
- A new iterative method for discrete HJB equations (Q957940) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- \(\pi \) options (Q981010) (← links)
- A PDE approach to regularity of solutions to finite horizon optimal switching problems (Q1044477) (← links)
- Multi-grid methods for Hamilton-Jacobi-Bellman equations (Q1065516) (← links)
- Numerical solution of the obstacle problem by the penalty method. II: Time-dependent problems (Q1075740) (← links)
- An optimal stopping time problem with time average cost in a bounded interval (Q1085882) (← links)
- Stochastic calculus of variations for stochastic partial differential equations (Q1107903) (← links)
- Error estimates for the binomial approximation of American put options (Q1296626) (← links)
- Approximation theory for stochastic variational and Ky Fan inequalities in finite dimensions (Q1308652) (← links)
- Numerical pricing of American put options on zero-coupon bonds. (Q1398678) (← links)
- Critical price near maturity for an American option on a dividend-paying stock. (Q1413692) (← links)
- A probabilistic approach to second order variational inequalities with bilateral constraints (Q1425696) (← links)
- On the dynamics of stochastic diffusion of manufacturing technology (Q1578007) (← links)
- A generalization of Yaari's result on annuitization with optimal retirement (Q1667924) (← links)
- Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form (Q1670266) (← links)
