Kyoung-Sook Moon,
Ricardo H. Nochetto,
Tobias von Petersdorff,
Chen-song Zhang
(2007)
Motivated by the pricing of American options for baskets we
consider a parabolic variational inequality in a bounded
polyhedral domain with a continuous piecewise
smooth obstacle. We formulate a fully discrete method by using
piecewise linear finite elements in space and the backward Euler
method in time. We define an error estimator and show
that it gives an upper bound for the error in
(Ω)). The error estimator is localized in the
sense that the size of the elliptic residual is...