Local Hölder continuity of nonnegative weak solutions of inverse variation-inequality problems of non-divergence type
Yan Dong
Abstract:<abstract><p>Compared to the standard variational inequalities, inverse variational inequalities are more suitable for pricing American options with indefinite payoff. This paper investigated the initial-boundary value problem of inverse variational inequalities constituted by a class of non-divergence type parabolic operators. We established the existence and Hölder continuity of weak solutions. Since the comparison principle in the case of standard variational inequalities is no longer applicable… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.