Numerical solution of variational inequalities: localization with Dirichlet conditions (Q380731)
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scientific article; zbMATH DE number 6227061
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of variational inequalities: localization with Dirichlet conditions |
scientific article; zbMATH DE number 6227061 |
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Numerical solution of variational inequalities: localization with Dirichlet conditions (English)
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14 November 2013
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forwards backwards stochastic differential equation
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variational inequalities
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American option
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viscosity solutions
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