The first edition of this book was published by Academic Press in 1992 as a volume in the
series Computer Science and Scientific Computing edited by Werner Rheinboldt. As the …

This volume is intended for readers who, whether they be mathematicians, workers in other
fields or students, are familiar with the basic concepts and methods of mathematical …

This paper is devoted to the derivation of some regularity properties of pricing functions for
American options and to the discussion of numerical methods, based on the Bensoussan …

This volume is intended for readers who, whether they be mathematicians, workers in other
fields or students, are familiar with the basic approaches and methods of mathematical …

We present an iterative scheme for obstacle problems described by variational inequalities.
At each step of the iteration the method leads to a reduced linear (resp. nonlinear) algebraic …

It is shown that the linear complementarity problem of finding az in R n such that Mz+ q⩾ 0,
z⩾ 0 and z T (Mz+ q)= 0 can be solved by a single linear program in some important special …

For M∈ E n× n and q∈ E n, the linear complementarity problem is to find vectors w, z∈ E n
such that w− Mz= q, w≥ 0, z≥ 0, wtz= 0. A family of algorithms based on complementary …

The class of orthants in R n contains 2 n orthants. A straight line L in R n is said to cut across
an orthant C of R n if L has a nonempty intersection with the interior of C. It is well known that …

Abstract Recently, Mangasarian [18, 19] has discussed the idea of solving certain classes of
linear complementarity problems as linear programs. The present paper (1) demonstrates …

Le but principal de cette thèse est de traiter l'évaluation des options américaines dans un
modèle de diffusion avec sauts et de développer les méthodes numériques permettant de …