A power penalty method for solving a nonlinear parabolic complementarity problem
DOI10.1016/j.na.2007.06.014zbMath1144.35477OpenAlexW2054617213WikidataQ59416193 ScholiaQ59416193MaRDI QIDQ943659
Publication date: 10 September 2008
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2007.06.014
stochastic controlnonlinear complementarity problemfree boundaryobstacle problempenalty methodnonlinear variational inequality
Variational inequalities (49J40) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Partial differential inequalities and systems of partial differential inequalities (35R45)
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Cites Work
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- A power penalty method for linear complementarity problems
- Lagrange-type functions in constrained optimization
- Power penalty method for a linear complementarity problem arising from American option valuation
- A Nonlinear Lagrangian Approach to Constrained Optimization Problems
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