Existence and uniqueness of solutions to variational inequalities involving a double-phase degenerate parabolic operator with variable exponents arising from American put option valuation analysis
Abstract
This paper analyzes a class of variational inequalities involving a double-phase degenerate parabolic operator with variable exponents, which arises in the valuation of American put options. By establishing energy estimates for the associated penalty problem and applying a limiting argument, the existence of a weak solution is obtained. The uniqueness of the weak solution is also discussed.
Fields of Study & Subjects
Nonlinear Partial Differential Equations
Differential Equations and Boundary Problems
Advanced Numerical Methods in Computational Mathematics
Publication details
- Journal / source
- Electronic Research Archive
- Volume
- 34
- Issue
- 2
- Pages
- 1063–1078
- Publication date
- 1 January 2026