Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options

DOI10.1007/s00208-009-0456-zzbMath1200.35307OpenAlexW2149179694MaRDI QIDQ976775

Andrea Pascucci, Kaj Nyström, Marie Frentz, Sergio Polidoro

Publication date: 16 June 2010

Published in: Mathematische Annalen (Search for Journal in Brave)

Full work available at URL: http://amsacta.unibo.it/2518/1/FNPP.pdf

zbMATH Keywords

obstacle problemsinterior regularityKolmogorov operators

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Free boundary problems for PDEs (35R35) Hypoelliptic equations (35H10) 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)

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