Numerical solution of variational inequalities: localization with Dirichlet conditions

zbMath1285.60055MaRDI QIDQ380731

Mamadou Cissé

Publication date: 14 November 2013

Published in: African Diaspora Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.adjm/1374153551

zbMATH Keywords

variational inequalitiesviscosity solutionsAmerican optionforwards backwards stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Local time and additive functionals (60J55)

Cites Work

• Adapted solution of a backward stochastic differential equation
• Mathematics of financial markets
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Generalized BSDEs and nonlinear Neumann boundary value problems
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
• Backward Stochastic Differential Equations in Finance
• Reflected forward-backward SDEs and obstacle problems with boundary conditions
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