Quantitative Analysis
Parallel Processing
Numerical Analysis
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I.
Basic math.
II.
Pricing and Hedging.
III.
Explicit techniques.
IV.
Data Analysis.
V.
Implementation tools.
VI.
Basic Math II.
VII.
Implementation tools II.
1.
Calculational Linear Algebra.
2.
Wavelet Analysis.
3.
Finite element method.
4.
Construction of approximation spaces.
5.
Time discretization.
6.
Variational inequalities.
A.
Stationary variational inequalities.
B.
Evolutionary variational inequalities.
a.
Strong and variational formulations for evolutionary problem.
b.
Existence and uniqueness for evolutionary problem.
c.
Penalized evolutionary problem.
d.
Proof of existence for evolutionary problem.
VIII.
Bibliography
Notation.
Index.
Contents.
Evolutionary variational inequalities.
n the context of the section (
Optimal stopping time problem
) we consider the state process
and the time dependent problem
We set
.
a.
Strong and variational formulations for evolutionary problem.
b.
Existence and uniqueness for evolutionary problem.
c.
Penalized evolutionary problem.
d.
Proof of existence for evolutionary problem.
Notation.
Index.
Contents.
Copyright 2007