Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects

DOI10.1016/j.amc.2009.10.042zbMath1182.91192OpenAlexW2130833621MaRDI QIDQ846454

A. Acción, Carlos Vázquez, Iñigo Arregui

Publication date: 9 February 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2009.10.042

zbMATH Keywords

finite elementsnumerical methodselliptic equationsmultigridunilateral problemsinvestment under incertainty

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Free boundary problems for PDEs (35R35) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Direct numerical methods for linear systems and matrix inversion (65F05)

Cites Work

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• On an evolution problem associated to the modelling of incertitude into the environment
• Monotone multigrid methods for elliptic variational inequalities. I
• Analysis of a degenerate obstacle problem on an unbounded set arising in the environment
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• Far Field Boundary Conditions for Black--Scholes Equations
• Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
• Multigrid Algorithms for Variational Inequalities
• Optimal environment management in the presence of irreversibilities

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