Free Boundary Regularity in the Parabolic Fractional Obstacle Problem

DOI10.1002/cpa.21745zbMath1420.35428arXiv1605.00544OpenAlexW2962812970WikidataQ112631903 ScholiaQ112631903MaRDI QIDQ4553828

Alessio Figalli, Begoña Barrios, Xavier Ros-Oton

Publication date: 1 November 2018

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.00544

zbMATH Keywords

Lévy processesobstacle problemsAmerican options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Integro-partial differential equations (35R09)

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