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

Sergio Polidoro


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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DOI: 10.6092/issn.2240-2829/2230


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Copyright (c) 2010 Sergio Polidoro

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