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

Abstract

<abstract><p>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.</p></abstract>