Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
2010 (English)In: Mathematische Annalen, ISSN 0025-5831, E-ISSN 1432-1807, Vol. 347, no 4, 805-838 p.Article in journal (Refereed) Published
In this paper we prove optimal interior 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. The problem considered arises in financial mathematics, when considering path-dependent derivative contracts with early exercise feature.
Place, publisher, year, edition, pages
Springer , 2010. Vol. 347, no 4, 805-838 p.
IdentifiersURN: urn:nbn:se:umu:diva-47920DOI: 10.1007/s00208-009-0456-zISI: 000277957100003OAI: oai:DiVA.org:umu-47920DiVA: diva2:445340