Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
type: Item
instance of: scholarly article
title: Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
zbMATH Open document ID: 1200.35307
author: Marie Frentz
author: Kaj Nyström
author: Andrea Pascucci
author: Sergio Polidoro
published in: Mathematische Annalen
publication date: 2010-06-16T00:00:00Z
full work available at URL: FNPP.pdf
review text: The author prove optimal interior regularity for solutions to the obstacle problem for a class of second order differential operators of Kolmogorov type. Smooth obstacles as well as non-smooth obstacles are considered. The proofs are based on blow-ups, compactness, barriers and arguments by contradiction. The problem considered arises in financial mathematics, when considering path-dependent derivative contracts with early exercise feature.
reviewed by: Vincenzo Vespri
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 35K70
Mathematics Subject Classification ID: 35R35
Mathematics Subject Classification ID: 35R03
Mathematics Subject Classification ID: 35H10
Mathematics Subject Classification ID: 35B65
zbMATH DE Number: 5721502
zbMATH Keywords: Kolmogorov operators
zbMATH Keywords: interior regularity
zbMATH Keywords: obstacle problems
MaRDI profile type: Publication
OpenAlex ID: W2149179694
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DOI: 10.1007/S00208-009-0456-Z
description: scientific article; zbMATH DE number 5721502