Risultati di regolarità per il problema dell'ostacolo relativo ad equazioni di Kolmogorov degeneri
We prove optimal regularity for solutions to the obstacle problem for a class of second order differential operators of Kolmogorov type. We treat smooth obstacles as well as non-smooth obstacles. All our proofs follow the same line of thought and are based on blow-ups, compactness, barriers and argu...
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| Format: | Article |
| Language: | English |
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University of Bologna
2010-12-01
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| Series: | Bruno Pini Mathematical Analysis Seminar |
| Online Access: | http://mathematicalanalysis.unibo.it/article/view/2230 |
| Summary: | We prove optimal regularity for solutions to the obstacle problem for a class of second order differential operators of Kolmogorov type. We treat smooth obstacles as well as non-smooth obstacles. All our proofs follow the same line of thought and are based on blow-ups, compactness, barriers and arguments by contradiction. This problem arises in nancial mathematics, when considering path-dependent derivative contracts with the early exercise feature. |
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| ISSN: | 2240-2829 |