In the paper, we propose a numerical technique based on a finite difference scheme in space and an implicit time-stepping scheme for solving the Hamilton–Jacobi–Bellman (HJB) equation arising from the penalty formulation of the valuation of European options with proportional transaction...

This paper studies algorithms for equilibrium problems with equilibrium constraints (EPECs). We present a generalization of Scholtes’s regularization scheme for MPECs and extend his convergence results to this new relaxation method. We propose a sequential nonlinear complementarity (SNCP)...