Study of weak solutions of variational inequality systems with degenerate parabolic operators and quasilinear terms arising Americian option pricing problems

Study of weak solutions of variational inequality systems with degenerate parabolic operators and quasilinear terms arising Americian option pricing problems

In this paper, we study variational inequality systems with quasilinear degenerate parabolic operators in a bounded domain. As a series of penalty problems, the existence of the solutions in the weak sense is proved by a limit process. The uniqueness of the solution is also proved.

Bibliographic Details
Main Authors: Jia Li, Changchun Bi
Format: Article
Language:English
Published: AIMS Press 2022-09-01
Series:AIMS Mathematics
Subjects:
parabolic variational inequality
weak solution
penalty problem
existence
uniqueness
americian option pricing
Online Access:https://www.aimspress.com/article/doi/10.3934/math.20221083?viewType=HTML

Internet

https://www.aimspress.com/article/doi/10.3934/math.20221083?viewType=HTML

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