Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators

DOI10.1016/j.jde.2010.05.020zbMath1205.35345OpenAlexW2101669783MaRDI 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

zbMATH Keywords

regularityblow-upobstacle problemhypoellipticinitial stateoperator of Kolmogorov type

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) PDEs on Heisenberg groups, Lie groups, Carnot groups, etc. (35R03) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (8)

Intrinsic expansions for averaged diffusion processes ⋮ Uniform estimates near the initial state for solutions of the two-phase parabolic problem ⋮ Sharp regularity for evolutionary obstacle problems, interpolative geometries and removable sets ⋮ Intrinsic Taylor formula for Kolmogorov-type homogeneous groups ⋮ Unnamed Item ⋮ 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 ⋮ Pointwise estimates for degenerate Kolmogorov equations with \(L^p\)-source term

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

This page was built for publication: Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators