Free Boundary Regularity in the Parabolic Fractional Obstacle Problem
نویسندگان
چکیده
منابع مشابه
Free Boundary Regularity in the Parabolic Fractional Obstacle Problem
The parabolic obstacle problem for the fractional Laplacian naturally arises in American option models when the assets prices are driven by pure jump Lévy processes. In this paper we study the regularity of the free boundary. Our main result establishes that, when s > 12 , the free boundary is a C 1,α graph in x and t near any regular free boundary point (x0, t0) ∈ ∂{u > φ}. Furthermore, we als...
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ژورنال
عنوان ژورنال: Communications on Pure and Applied Mathematics
سال: 2018
ISSN: 0010-3640
DOI: 10.1002/cpa.21745