Nonlinear variational inequalities for jump-diffusion processes and irregular obstacles with a financial application

Nonlinear Analysis, Theory, Methods and Applications

Volumn 34, Issue 6, 1998, Pages 889-905

  Mastroeni, Loretta ^a   Matzeu, Michele ^a  

^a UNIVERSITY OF ROME TOR VERGATA   (Italy)

Author keywords

Hamiltonian with linear growth in the control variable; Integra differential parabolic operators; Irreversible investment decision problem; Lewy Stampacchia's type estimates; Variational inequalities

Indexed keywords

ASYMPTOTIC STABILITY; DECISION THEORY; DYNAMIC PROGRAMMING; FUNCTIONS; INTEGRODIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; MATHEMATICAL OPERATORS; RANDOM PROCESSES; VARIATIONAL TECHNIQUES;

BOREL FUNCTIONS; INTEGRODIFFERENTIAL PARABOLIC OPERATORS; NONLINEAR VARIATIONAL INEQUALITIES;

NONLINEAR EQUATIONS;

EID: 0032341554     PISSN: 0362546X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0362-546X(97)00553-1     Document Type: Article

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