Bruno Pini Mathematical Analysis Seminar (Dec 2010)
Risultati di regolarità per il problema dell'ostacolo relativo ad equazioni di Kolmogorov degeneri
Abstract
We prove optimal regularity for solutions to the obstacle problem for a class of second order differential operators of Kolmogorov type. We treat smooth obstacles as well as non-smooth obstacles. All our proofs follow the same line of thought and are based on blow-ups, compactness, barriers and arguments by contradiction. This problem arises in nancial mathematics, when considering path-dependent derivative contracts with the early exercise feature.