Risultati di regolarità per il problema dell'ostacolo relativo ad equazioni di Kolmogorov degeneri

Authors

  • Sergio Polidoro Università di Modena

DOI:

https://doi.org/10.6092/issn.2240-2829/2230

Abstract

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.

Published

2010-12-30

How to Cite

Polidoro, S. (2010). Risultati di regolarità per il problema dell’ostacolo relativo ad equazioni di Kolmogorov degeneri. Bruno Pini Mathematical Analysis Seminar, 1(1). https://doi.org/10.6092/issn.2240-2829/2230

Issue

Section

Articles