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

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 inequality
• weak solution
• penalty problem
• existence
• uniqueness
• americian option pricing