Academic literature on the topic 'Parabolic Variational Inequalities'
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Journal articles on the topic "Parabolic Variational Inequalities"
Ženíšek, Alexander. "Approximations of parabolic variational inequalities." Applications of Mathematics 30, no. 1 (1985): 11–35. http://dx.doi.org/10.21136/am.1985.104124.
Full textEldessouky, A. T. "Strongly Nonlinear Parabolic Variational Inequalities." Journal of Mathematical Analysis and Applications 181, no. 2 (January 1994): 498–504. http://dx.doi.org/10.1006/jmaa.1994.1039.
Full textIto, Kazufumi, and Karl Kunisch. "Optimal control of parabolic variational inequalities." Journal de Mathématiques Pures et Appliquées 93, no. 4 (April 2010): 329–60. http://dx.doi.org/10.1016/j.matpur.2009.10.005.
Full textFriedman, Avner. "Optimal Control for Parabolic Variational Inequalities." SIAM Journal on Control and Optimization 25, no. 2 (March 1987): 482–97. http://dx.doi.org/10.1137/0325027.
Full textHaussmann, U. G., and E. Pardoux. "Stochastic variational inequalities of parabolic type." Applied Mathematics & Optimization 20, no. 1 (July 1989): 163–92. http://dx.doi.org/10.1007/bf01447653.
Full textKulieva, Gulchehra, and Komil Kuliev. "ON EXTENDED ROTHE’S METHOD FOR NONLINEAR PARABOLIC VARIATIONAL INEQUALITIES IN NONCYLINDRICAL DOMAINS." Eurasian Mathematical Journal 11, no. 3 (2020): 51–65. http://dx.doi.org/10.32523/2077-9879-2020-11-3-51-65.
Full textQuittner, Pavol. "A remark on the stability of stationary solutions of parabolic variational inequalities." Czechoslovak Mathematical Journal 40, no. 3 (1990): 472–74. http://dx.doi.org/10.21136/cmj.1990.102400.
Full textBoulaaras, Salah, and Mohamed Haiour. "A New Approach to Asymptotic Behavior for a Finite Element Approximation in Parabolic Variational Inequalities." ISRN Mathematical Analysis 2011 (July 7, 2011): 1–15. http://dx.doi.org/10.5402/2011/703670.
Full textJeong, Jin-Mun, and Jong-Yeoul Park. "Nonlinear variational inequalities of semilinear parabolic type." Journal of Inequalities and Applications 2001, no. 2 (2001): 896837. http://dx.doi.org/10.1155/s1025583401000133.
Full textRudd, Matthew, and Klaus Schmitt. "VARIATIONAL INEQUALITIES OF ELLIPTIC AND PARABOLIC TYPE." Taiwanese Journal of Mathematics 6, no. 3 (September 2002): 287–322. http://dx.doi.org/10.11650/twjm/1500558298.
Full textDissertations / Theses on the topic "Parabolic Variational Inequalities"
Kulieva, Gulchehra. "Some special problems in elliptic and parabolic variational inequalities." Licentiate thesis, Luleå : Department of Mathematics, Luleå University of Technology, 2006. http://epubl.ltu.se/1402-1757/2006/77/.
Full textGlas, Silke [Verfasser]. "Noncoercive and parabolic variational inequalities : analysis, applications and model reduction / Silke Glas." Ulm : Universität Ulm, 2018. http://d-nb.info/1166756882/34.
Full textEriksson, Jonatan. "On the pricing equations of some path-dependent options." Doctoral thesis, Uppsala : Department of Mathematics, Univ. [distributör], 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-6329.
Full textCoelho, Afonso Valente Ricardo de Seabra. "American options and the Black-Scholes Model." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20735.
Full textOs problemas de apreçamento de opções têm sido um dos principais assuntos de em Matemática Financeira, desde a criação desse conceito nos anos 70. Mais especificamente, as opções americanas são de grande interesse nesta área do conhecimento porque são matematicamente muito mais complexas do que as opções europeias padrão e o modelo de Black-Scholes não fornece, na maioria dos casos, uma fórmula explícita para a determinação do preço deste tipo de opções. Nesta dissertação, mostramos como o estudo de opções americanas conduz à análise de problemas de fronteira livre devido à possibilidade de exercício antecipado, onde nosso principal objetivo é encontrar o preço de exercício ótimo. Também apresentamos a reformulação do problema em termos de um problema de complementaridade linear e de desigualdade variacional parabólica. Além disso, também abordamos a caracterização probabilística das opções americanas com base no conceito de tempos de paragem ótima. Essas formulações, aqui tratadas em termos analíticos ou probabilísticos, podem ser muito úteis na aplicação de métodos numéricos ao problema de precificação de opções do estilo americano, uma vez que, na maioria dos casos, é quase impossível encontrar soluções explícitas. Além disso, utilizamos o Método da Árvore Binomial, que é um método numérico muito simples do ponto de vista matemático, para ilustrar alguns aspectos da teoria estudada ao longo desta tese e para comparar as opções americanas com as opções europeias e bermudas, por meio de alguns exemplos numéricos.
Option pricing problems have been one of the main focuses in the field of Mathematical Finance since the creation of this concept in the 1970s. More specifically, American options are of great interest in this area of knowledge because they are much more complex mathematically than the standard European options and the Black-Scholes model cannot give an explicit formula to value this style options in most cases. In this dissertation, we show how pricing American options leads to free boundary problems because of the possibility of early exercise, where our main goal is to find the optimal exercise price. We also present how to reformulate the problem into a linear complementarity problem and a parabolic variational inequality. Moreover, we also address the probabilistic characterization of American options based on the concept of stopping times. These formulations, here viewed from the analytical and probabilistic point of view, can be very useful for applying numerical methods to the problem of pricing American style options since, in most cases, it is almost impossible to find explicit solutions. Furthermore, we use the Binomial Tree Method, which is a very simple numerical method from the mathematical point of view, to illustrate some aspects of the theory studied throughout this thesis and to compare American options with European and Bermudan Options, by means of a few numerical examples.
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Book chapters on the topic "Parabolic Variational Inequalities"
Goeleven, D., and D. Motreanu. "Parabolic Unilateral Problems." In Variational and Hemivariational Inequalities, 77–121. Boston, MA: Springer US, 2003. http://dx.doi.org/10.1007/978-1-4419-8758-7_2.
Full textCarl, Siegfried, and Vy Khoi Le. "Multi-Valued Parabolic Variational Inequalities on Convex Sets." In Springer Monographs in Mathematics, 287–354. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-65165-7_5.
Full textMarino, Antonio. "The Calculus of Variations and Some Semilinear Variational Inequalities of Elliptic and Parabolic Type." In Partial Differential Equations and the Calculus of Variations, 787–822. Boston, MA: Birkhäuser Boston, 1989. http://dx.doi.org/10.1007/978-1-4615-9831-2_12.
Full textMarino, Antonio. "The Calculus of Variations and Some Semilinear Variational Inequalities of Elliptic and Parabolic Type." In Partial Differential Equations and the Calculus of Variations, 787–822. Boston, MA: Birkhäuser Boston, 1989. http://dx.doi.org/10.1007/978-1-4684-9196-8_33.
Full textTalay, Denis. "Derivatives of Solutions of Semilinear Parabolic PDEs and Variational Inequalities with Neumann Boundary Conditions." In Springer Proceedings in Mathematics & Statistics, 153–67. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-29982-7_7.
Full textBoukrouche, Mahdi, and Domingo A. Tarzia. "On Existence, Uniqueness, and Convergence of Optimal Control Problems Governed by Parabolic Variational Inequalities." In IFIP Advances in Information and Communication Technology, 76–84. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-36062-6_8.
Full textMaksimov, Vyacheslav. "Method of Extremal Shift in Problems of Reconstruction of an Input for Parabolic Variational Inequalities." In Analysis and Optimization of Differential Systems, 259–68. Boston, MA: Springer US, 2003. http://dx.doi.org/10.1007/978-0-387-35690-7_26.
Full text"10. Parabolic Variational Inequalities." In Lagrange Multiplier Approach to Variational Problems and Applications, 277–304. Society for Industrial and Applied Mathematics, 2008. http://dx.doi.org/10.1137/1.9780898718614.ch10.
Full textGupta, S. C. "Elliptic and Parabolic Variational Inequalities." In The Classical Stefan Problem, 139–82. Elsevier, 2018. http://dx.doi.org/10.1016/b978-0-444-63581-5.00007-5.
Full text"Elliptic and Parabolic Variational Inequalities." In North-Holland Series in Applied Mathematics and Mechanics, 148–95. Elsevier, 2003. http://dx.doi.org/10.1016/s0167-5931(03)80010-4.
Full textConference papers on the topic "Parabolic Variational Inequalities"
Murase, Yusuke. "Abstract quasi-variational inequalities of elliptic type and applications." In Nonlocal and Abstract Parabolic Equations and their Applications. Warsaw: Institute of Mathematics Polish Academy of Sciences, 2009. http://dx.doi.org/10.4064/bc86-0-15.
Full textKano, Risei. "Applications of abstract parabolic quasi-variational inequalities to obstacle problems." In Nonlocal and Abstract Parabolic Equations and their Applications. Warsaw: Institute of Mathematics Polish Academy of Sciences, 2009. http://dx.doi.org/10.4064/bc86-0-10.
Full textKulieva, Gulchehra, and Komil Kuliev. "Rothe’s method for nonlinear parabolic variational inequalities in noncylindrical domains." In INTERNATIONAL UZBEKISTAN-MALAYSIA CONFERENCE ON “COMPUTATIONAL MODELS AND TECHNOLOGIES (CMT2020)”: CMT2020. AIP Publishing, 2021. http://dx.doi.org/10.1063/5.0057466.
Full textSHIRAKAWA, KEN, MASAHIRO KUBO, and NORIAKI YAMAZAKI. "WELL-POSEDNESS AND PERIODIC STABILITY FOR QUASILINEAR PARABOLIC VARIATIONAL INEQUALITIES WITH TIME-DEPENDENT CONSTRAINTS." In Proceedings of the International Conference on Nonlinear Analysis. WORLD SCIENTIFIC, 2008. http://dx.doi.org/10.1142/9789812709257_0012.
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