A Projected Algebraic Multigrid Method for Linear Complementarity Problems

DOI10.4208/nmtma.2011.m12si05zbMath1265.65124OpenAlexW4241164191WikidataQ110124780 ScholiaQ110124780MaRDI QIDQ4900837

Jari Toivanen, Cornelis W. Oosterlee

Publication date: 24 January 2013

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/nmtma.2011.m12si05

zbMATH Keywords

obstacle problemslinear complementarity problemalgebraic multigridfinancial engineeringamerican options

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20) Existence theories for optimal control problems involving partial differential equations (49J20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)

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