On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options

DOI10.1007/s00791-004-0149-9zbMath1111.91019OpenAlexW2032122745MaRDI QIDQ1780893

Gabriel Wittum, Christoph Reisinger

Publication date: 14 June 2005

Published in: Computing and Visualization in Science (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:6b67ac1d-e0cb-42c0-b1a3-4b38fe5d5b2b

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

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