Numerical solution of the obstacle problem by the penalty method. II: Time-dependent problems
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Publication:1075740
DOI10.1007/BF01389628zbMath0592.65039OpenAlexW3000757360MaRDI QIDQ1075740
Publication date: 1986
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/133111
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Implicit-explicit Runge-Kutta methods for financial derivatives pricing models ⋮ Lewy-Stampacchia's inequality for a stochastic T-monotone obstacle problem ⋮ A decomposition-dualization approach for solving constrained convex minimization problems with applications to discretized obstacle problems ⋮ A penalty method for American multi-asset option problems ⋮ Mimetic finite differences for nonlinear and control problems ⋮ Exponential Rosenbrock integrators for option pricing ⋮ Finite Element Methods for Parabolic Variational Inequalities with a Volterra Term ⋮ Error estimates for the implicit Euler approximation of an evolution inequality ⋮ Regularized model of post-touchdown configurations in electrostatic MEMS: Equilibrium analysis ⋮ Conjugate gradient techniques for the optimal control evolution dam problem
Cites Work
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- Numerical solution of the obstacle problem by the penalty method
- Convergence of a penalty-finite element approximation for an obstacle problem
- Sommes d'opérateurs linéaires et équations différentielles opérationnelles
- Méthodes d'approximation et d'itération pour les opérateurs monotones
- A Convergence Estimate for an Approximation of a Parabolic Variational Inequality
- An Error Estimate for the Truncation Method for the Solution of Parabolic Obstacle Variational Inequalities
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