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

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.