Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
From MaRDI portal
Publication:394918
DOI10.1016/j.jmaa.2013.02.007zbMath1281.91177OpenAlexW1993872238MaRDI QIDQ394918
Andrea Pascucci, María Suárez-Taboada, Carlos Vázquez
Publication date: 28 January 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.02.007
finite elementsobstacle problemsKolmogorov equationanisotropic regularityaugmented Lagrangian active set methodcharacteristics time discretizationstock loans
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