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  • Search: subject:"Obstacle problems"
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obstacle problems 4 Elliptic operator 2 Generalized Schwarz algorithms 2 Obstacle problems 2 Optimal stopping 2 Variational inequalities 2 option pricing 2 viscosity solutions 2 49J40 1 Concave generator 1 Deterministic obstacle problems 1 H-matrix 1 Invariant measures 1 Large deviations 1 Legendre–Fenchel duality 1 Mathematical programming 1 Mathematische Optimierung 1 Obstacle problems for semi-linear parabolic PDEs 1 Optimal stopping problems for quadratic g-evaluations 1 Quadratic reflected backward stochastic differential equations 1 Skeleton equations 1 Stability 1 Stochastic partial differential equations with two reflecting walls 1 Theorie 1 Theory 1 Viscosity solutions 1 controlled diffusions 1 gradient constraints 1 iterative methods 1 linear complementary problems 1 optimal stopping 1 penalization methods 1 preconditioning 1 singular control 1 unbounded domains 1 variational inequalities 1 zero-sum stochastic games 1 θ-difference method 1
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Undetermined 7
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Article 8
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Article in journal 2 Aufsatz in Zeitschrift 2
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Undetermined 6 English 2
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Andrzej ŚwiechRID="*"ID="*" Andrzej 2 Chen, Gaojie 2 DMS-9706760, ch was partially supported by NSF grant 2 Gatarek, Dariusz 2 Sacute 2 Zeng, Jinping 2 ecedil 2 wi 2 Bayraktar, Erhan 1 Bovo, Andrea 1 De Angelis, Tiziano 1 Edalatpanah, S. A. 1 Issoglio, Elena 1 Najafi, H. Saberi 1 Yao, Song 1 Zhang, Tusheng 1
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Computational Statistics 2 Mathematical Methods of Operations Research 2 Stochastic Processes and their Applications 2 Mathematics of operations research 1 RAIRO / Operations research 1
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RePEc 6 ECONIS (ZBW) 2
Showing 1 - 8 of 8
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Variational inequalities on unbounded domains for zero-sum singular controller vs. stopper games
Bovo, Andrea; De Angelis, Tiziano; Issoglio, Elena - In: Mathematics of operations research 50 (2025) 1, pp. 277-312
Persistent link: https://www.econbiz.de/10015211681
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Iterative methods with analytical preconditioning technique to linear complemenatary problems : application to obstacle problems
Najafi, H. Saberi; Edalatpanah, S. A. - In: RAIRO / Operations research 47 (2013) 1, pp. 59-71
Persistent link: https://www.econbiz.de/10010490674
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Large deviations for invariant measures of SPDEs with two reflecting walls
Zhang, Tusheng - In: Stochastic Processes and their Applications 122 (2012) 10, pp. 3425-3444
In this article, we establish a large deviation principle for invariant measures of solutions of stochastic partial differential equations with two reflecting walls driven by a space–time white noise.
Persistent link: https://www.econbiz.de/10010875088
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Quadratic reflected BSDEs with unbounded obstacles
Bayraktar, Erhan; Yao, Song - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1155-1203
the square of the gradient. Finally, we prove a comparison theorem for these obstacle problems when the generator is …
Persistent link: https://www.econbiz.de/10011064942
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On the convergence of generalized Schwarz algorithms for solving obstacle problems with elliptic operators
Chen, Gaojie; Zeng, Jinping - In: Mathematical Methods of Operations Research 67 (2008) 3, pp. 455-469
In this paper, multiplicative and additive generalized Schwarz algorithms for solving obstacle problems with elliptic …
Persistent link: https://www.econbiz.de/10010950115
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On the convergence of generalized Schwarz algorithms for solving obstacle problems with elliptic operators
Chen, Gaojie; Zeng, Jinping - In: Computational Statistics 67 (2008) 3, pp. 455-469
In this paper, multiplicative and additive generalized Schwarz algorithms for solving obstacle problems with elliptic …
Persistent link: https://www.econbiz.de/10010759325
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Optimal stopping in Hilbert spaces and pricing of American options
Gatarek, Dariusz; Andrzej ŚwiechRID="*"ID="*" Andrzej; … - In: Mathematical Methods of Operations Research 50 (1999) 1, pp. 135-147
We consider an optimal stopping problem for a Hilbert-space valued diffusion. We prove that the value function of the problem is the unique viscosity solution of an obstacle problem for the associated parabolic partial differential equation in the Hilbert space. The results are applied to...
Persistent link: https://www.econbiz.de/10010999542
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Optimal stopping in Hilbert spaces and pricing of American options
Gatarek, Dariusz; Andrzej ŚwiechRID="*"ID="*" Andrzej; … - In: Computational Statistics 50 (1999) 1, pp. 135-147
We consider an optimal stopping problem for a Hilbert-space valued diffusion. We prove that the value function of the problem is the unique viscosity solution of an obstacle problem for the associated parabolic partial differential equation in the Hilbert space. The results are applied to...
Persistent link: https://www.econbiz.de/10010759137
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