Calculus of Variations and Geometric Measure Theory

L. Caffarelli - A. Figalli

Regularity of solutions to the parabolic fractional obstacle problem

created by figalli on 16 Oct 2011
modified on 14 May 2012


Published Paper

Inserted: 16 oct 2011
Last Updated: 14 may 2012

Journal: J. Reine Angew. Math.
Year: 2011


In this paper we study a parabolic version of the fractional obstacle problem, proving almost optimal regularity for the solution. This problem is motivated by an American option model proposed by Menton which introduces, into the theory of option evaluation, discontinuous paths in the dynamics of the stock's prices.