An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering

DOI10.1007/s11590-016-1050-4zbMath1401.90242OpenAlexW2418839529MaRDI QIDQ1670525

Kai Zhang, Songgui Wang

Publication date: 5 September 2018

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11937/69495

zbMATH Keywords

variational inequalitystochastic optimal controlAmerican option pricinglinear complementarity problemHJB equationinterior penalty method

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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