An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering

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An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering

In this work we study an interior penalty method for a finite-dimensional large-scale linear complementarity problem (LCP) arising often from the discretization of stochastic optimal problems in financial engineering. In this approach, we approximate the LCP by a nonlinear algebraic equation contain...

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Bibliographic Details
Main Authors:	Wang, Song, Zhang, K.
Format:	Journal Article
Published:	Springer Verlag 2018
Online Access:	http://hdl.handle.net/20.500.11937/69495

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