Parabolic variational inequalities in one space dimension and smoothness of the free boundary

From MaRDI portal
Publication:1213075

DOI10.1016/0022-1236(75)90022-1zbMath0295.35045OpenAlexW2079348087MaRDI QIDQ1213075

Avner Friedman

Publication date: 1975

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-1236(75)90022-1




Related Items (75)

An analytical study of participating policies with minimum rate guarantee and surrender optionOptimal finite horizon contract with limited commitmentA nonlinear supercooled Stefan problemOptimal surrender strategies and valuations of path-dependent guarantees in variable annuitiesFunctional a posteriori error estimates for the parabolic obstacle problemExercise boundary of American-style Asian optionA parabolic variational inequality arising from the valuation of strike reset optionsA system of variational inequalities arising from finite expiry Russian option with two regimesGlobal \(C^1\) regularity of the value function in optimal stopping problemsA free boundary problem arising from a multi-state regime-switching stock trading modelOptimal investment with stopping in finite horizonA stochastic control problem and related free boundaries in financeMathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default optionsFree boundary problem for an optimal investment problem with a borrowing constraintSharp regularity for evolutionary obstacle problems, interpolative geometries and removable setsLabor supply flexibility and portfolio selection with early retirement optionHorizon effect on optimal retirement decisionFinite horizon portfolio selection with a negative wealth constraintThe obstacle problem for parabolic non-divergence form operators of Hörmander typeOptimal annuitization and asset allocation under linear habit formationA free boundary problem for a flexible loan based on the borrower assetOn the Continuity of Optimal Stopping Surfaces for Jump-DiffusionsAn Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time HorizonOn the binomial approximation of the American putAmerican put option with regime‐switching volatility (finite time horizon)—Variational inequality approachConvergence of the approximation scheme to American option pricing via the discrete Morse semiflowCritical price near maturity for an American option on a dividend-paying stock.American lookback option with fixed strike price-2-D parabolic variational inequalityParabolic variational inequality with parameter and gradient constraintsOn a certain estimate of the free boundary in the Stefan problemFinite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumpsA new form of the early exercise premium for American type derivativesUnnamed ItemOPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEEFinite-horizon optimal consumption and investment problem with a preference changeOn the rate of convergence of the binomial tree scheme for American optionsAnalysis of exercise boundary of American interest rate optionA free boundary problem arising from pricing convertible bondContinuity of the optimal stopping boundary for two-dimensional diffusionsFree boundary problem concerning pricing convertible bondFinite horizon portfolio selection problem with a drawdown constraint on consumptionA variational inequality arising from European option pricing with transaction costsConvergence of the Critical Price In the Approximation of American OptionsCharacterization of stochastic control with optimal stopping in a Sobolev spaceAnalysis of the optimal exercise boundary of American put options with delivery lagsValuation of American strangle option: variational inequality approachInvestment, consumption and hedging with lump-sum payoff in finite horizon under incomplete marketA variational inequality from pricing convertible bondEquity value, bankruptcy, and optimal dividend policy with finite maturity -- variational inequality approach with discontinuous coefficientOn the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficientsOptimal regularity in the obstacle problem for Kolmogorov operators related to American Asian optionsAnalyticity of the free boundary for the Stefan problemError estimates and free-boundary convergence for a finite difference discretization of a parabolic variational inequalityOn the regularity of the free boundary in the parabolic obstacle problem. Application to American optionsThe obstacle problem for a class of hypoelliptic ultraparabolic equationsA class of parabolic quasi-variational inequalities. IIA fully nonlinear free boundary problem arising from optimal dividend and risk control modelFinite horizon portfolio selection problems with stochastic borrowing constraintsConvexity of the free boundary in the Stefan problem and in the dam problemOptimal stopping, free boundary, and American option in a jump-diffusion modelDynkin game of convertible bonds and their optimal strategyFinite-horizon optimal investment with transaction costs: a parabolic double obstacle problemOptimal Consumption and Portfolio Selection with Early Retirement OptionVariational inequalities and the pricing of American optionsVALUATION OF EUROPEAN INSTALLMENT PUT OPTION: VARIATIONAL INEQUALITY APPROACHA variational inequality arising from American installment call options pricingGlobal Closed-Form Approximation of Free Boundary for Optimal Investment Stopping ProblemsStopping spikes, continuation bays and other features of optimal stopping with finite-time horizonA Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite HorizonError estimates for the binomial approximation of American put optionsDebt-equity swap with finite time horizon -- variational inequality approachUnnamed ItemA Class of Recursive Optimal Stopping Problems with Applications to Stock TradingThe free boundary problem of American butterfly optionNonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems



Cites Work


This page was built for publication: Parabolic variational inequalities in one space dimension and smoothness of the free boundary