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Research Article | Open Access

Study of weak solutions of variational inequality systems with degenerate parabolic operators and quasilinear terms arising Americian option pricing problems

Jia Li, Changchun Bi( )
School of Management, Shenyang Urban Construction University, Shenyang, Liaoning, 110167, China
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Abstract

In this paper, we study variational inequality systems with quasilinear degenerate parabolic operators in a bounded domain. As a series of penalty problems, the existence of the solutions in the weak sense is proved by a limit process. The uniqueness of the solution is also proved.

Keywords

parabolic variational inequalityweak solutionpenalty problemexistenceuniquenessAmerician option pricing
CLC number: 35K99, 97M30

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AIMS Mathematics
Volume 7 Issue 11,
November 2022
Pages 19758-19769
DOI: 10.3934/math.20221083

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Cite this article:
Li J, Bi C. Study of weak solutions of variational inequality systems with degenerate parabolic operators and quasilinear terms arising Americian option pricing problems. AIMS Mathematics, 2022, 7(11): 19758-19769. https://doi.org/10.3934/math.20221083

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Received: 28 June 2022
Revised: 18 August 2022
Accepted: 19 August 2022
Published: 15 November 2022
©2022 the Author(s), licensee AIMS Press.

This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0)