Derivatives of Solutions of Semilinear Parabolic PDEs and Variational Inequalities with Neumann Boundary Conditions

DOI10.1007/978-3-642-29982-7_7zbMath1329.60196OpenAlexW58178708MaRDI QIDQ5261212

Publication date: 2 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29982-7_7

zbMATH Keywords

variational inequalities backward stochastic differential equations American options artificial boundary conditions reflected diffusions semilinear parabolic partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Semilinear parabolic equations (35K58)

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