Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
From MaRDI portal
Publication:710528
DOI10.1016/j.jde.2010.05.020zbMath1205.35345MaRDI QIDQ710528
Kaj Nyström, Sergio Polidoro, Andrea Pascucci
Publication date: 19 October 2010
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jde.2010.05.020
35R35: Free boundary problems for PDEs
35K70: Ultraparabolic equations, pseudoparabolic equations, etc.
35R03: PDEs on Heisenberg groups, Lie groups, Carnot groups, etc.
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
Related Items
Sharp regularity for evolutionary obstacle problems, interpolative geometries and removable sets, A boundary estimate for non-negative solutions to Kolmogorov operators in non-divergence form, Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type, Intrinsic Taylor formula for Kolmogorov-type homogeneous groups, Pointwise estimates for degenerate Kolmogorov equations with \(L^p\)-source term, Intrinsic expansions for averaged diffusion processes, Uniform estimates near the initial state for solutions of the two-phase parabolic problem
Cites Work
- Unnamed Item
- Unnamed Item
- Free boundary and optimal stopping problems for American Asian options
- Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov-type operators in non-divergence form
- Path dependent volatility
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- A variational inequality approach to financial valuation of retirement benefits based on salary
- Regularity of a free boundary with application to the Pompeiu problem
- On the behaviour near expiry for multi-dimensional American options
- Hypoelliptic second order differential equations
- On the complete model with stochastic volatility by Hobson and Rogers
- Complete Models with Stochastic Volatility
- The Valuation of American Options on Multiple Assets
- SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
- Regularity of a free boundary in parabolic potential theory
- Free boundary regularity close to initial state for parabolic obstacle problem
- The obstacle problem for a class of hypoelliptic ultraparabolic equations