An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525)
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scientific article; zbMATH DE number 6932359
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering |
scientific article; zbMATH DE number 6932359 |
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An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (English)
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5 September 2018
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variational inequality
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stochastic optimal control
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American option pricing
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HJB equation
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linear complementarity problem
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interior penalty method
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