Motivated by the pricing of American options for baskets we consider a parabolic variational inequality in a bounded polyhedral domain
Mots-clés : a posteriori error analysis, finite element method, variational inequality, american option pricing
@article{M2AN_2007__41_3_485_0, author = {Moon, Kyoung-Sook and Nochetto, Ricardo H. and Petersdorff, Tobias Von and Zhang, Chen-Song}, title = {A posteriori error analysis for parabolic variational inequalities}, journal = {ESAIM: Mod\'elisation math\'ematique et analyse num\'erique}, pages = {485--511}, publisher = {EDP-Sciences}, volume = {41}, number = {3}, year = {2007}, doi = {10.1051/m2an:2007029}, mrnumber = {2355709}, language = {en}, url = {http://archive.numdam.org/articles/10.1051/m2an:2007029/} }
TY - JOUR AU - Moon, Kyoung-Sook AU - Nochetto, Ricardo H. AU - Petersdorff, Tobias Von AU - Zhang, Chen-Song TI - A posteriori error analysis for parabolic variational inequalities JO - ESAIM: Modélisation mathématique et analyse numérique PY - 2007 SP - 485 EP - 511 VL - 41 IS - 3 PB - EDP-Sciences UR - http://archive.numdam.org/articles/10.1051/m2an:2007029/ DO - 10.1051/m2an:2007029 LA - en ID - M2AN_2007__41_3_485_0 ER -
%0 Journal Article %A Moon, Kyoung-Sook %A Nochetto, Ricardo H. %A Petersdorff, Tobias Von %A Zhang, Chen-Song %T A posteriori error analysis for parabolic variational inequalities %J ESAIM: Modélisation mathématique et analyse numérique %D 2007 %P 485-511 %V 41 %N 3 %I EDP-Sciences %U http://archive.numdam.org/articles/10.1051/m2an:2007029/ %R 10.1051/m2an:2007029 %G en %F M2AN_2007__41_3_485_0
Moon, Kyoung-Sook; Nochetto, Ricardo H.; Petersdorff, Tobias Von; Zhang, Chen-Song. A posteriori error analysis for parabolic variational inequalities. ESAIM: Modélisation mathématique et analyse numérique, Tome 41 (2007) no. 3, pp. 485-511. doi : 10.1051/m2an:2007029. http://archive.numdam.org/articles/10.1051/m2an:2007029/
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