The uniqueness of the solution for the definite problem of a parabolic variational inequality

DOI10.1186/S13660-016-1267-XzbMath1470.49026OpenAlexW2565241240WikidataQ59468719 ScholiaQ59468719MaRDI QIDQ2374200

Liping Song, Wanghui Yu

Publication date: 14 December 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-016-1267-x

zbMATH Keywords

uniquenessmaximum principlesJensen inequalityparabolic variational inequalitydefinite problem

Mathematics Subject Classification ID

Variational inequalities (49J40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• A parabolic variational inequality related to the perpetual American executive stock options
• Variational inequalities and the pricing of American options
• Optimal exercise of executive stock options
• Continuous-time stochastic control and optimization with financial applications

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