期刊文献+

一类退化拋物变分不等式问题解的存在性和唯一性

Existence and Uniqueness of Solutions to a Class of Degenerate Parabolic Variational Inequalities
原文传递
导出
摘要 本文研究了一类基于非线性抛物变分不等式问题, {min{Lu,u-u0}=0,(x,t)∈ΩT, u(x,0)=u0(x),x∈Ω, u(x,t)=0,(x,t)∈ Ω×(0,T),其中L表示变指数退化抛物算子.通过新的惩罚函数和微分不等式级数,证明了该变分不等式解的存在性和唯—性. AIn this paper, we study the existence and uniqueness of solutions to the following kind of variational inequalities {min{Lu,u-u0}=0,(x,t)∈ΩT, u(x,0)=u0(x),x∈Ω, u(x,t)=0,(x,t)∈ Ω×(0,T),where L is a degenerate parabolic operators with variable uniqueness results for the above variational inequalities are function and differential inequality technique. exponent. The existence and obtained by some new penalty function and differential inequality technique.
作者 李志广 康淑瑰 LI ZHIGUANG;KANG SHUGUI(School of Mathematics and Computer Science, Shanxi Datong University, Datong 037009, Chin)
出处 《应用数学学报》 CSCD 北大核心 2018年第3期289-304,共16页 Acta Mathematicae Applicatae Sinica
基金 山西省自然科学基金(No.2008011002-1) 山西省高等教育发展基金(No.20101109 20111020)资助项目
关键词 变分不等式 退化抛物算子 存在性 唯一性 惩罚方法 variational inequality degeneate parabolic inequality existence uniquenesspenalty method
  • 相关文献

参考文献1

二级参考文献16

  • 1Chang M and Pemy M, An approximation schem for Black-Scholes equation with delays, Journal of Systems Science and Complexity, 2010, 23(2): 145-166.
  • 2Han J, Gao M, Zhang Q, et al., Option prices under stochastic volatility, Appl. Math. Lett., 2013, 26(1): 1-4.
  • 3Thavaneswaran A, Appadoo S S, and Frank J, Binary option pricing using fuzzy numbers, Appl. Math. Lett., 2013, 26(1): 65-76.
  • 4Zhang K and Wang S, Pricing American bond options using a penalty method, Automatiea, 2012, 48(3): 472-479.
  • 5Nielsen B F, Skavhaug O, and Tveito A, Penalty methods for the numerical solution of American multi-asset option problems, J. Comput. Appl. Math., 2008, 222(1): 3-16.
  • 6Chen X, Yi F, and Wang L, American look back option with fixed strike price 2-D parabolic variational inequality, J. Differential Equations, 2011, 251(1): 3063-3089.
  • 7Elliott R J and Hoek J, A general fractional white noise theory and applications to finance, Math. Finance, 2003, 13(1): 301-330.
  • 8Blanchet A, On the regularity of the free boundary in the parabolic obstacle problem application to American options, Nonlinear Anal., 2006, 65(1): 1362-1378.
  • 9Guasoni P, No arbitrage under transaction costs, with fractional Brownian motion and beyond, Math. Finance, 2006, 16(1): 569-582.
  • 10Biagini F and Hu Y, Stochastic Calculus for Fractional Brownian Motion and Applications, Springer, New York, 2008.

共引文献2

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部