Seminario di analisi matematica
ore
15:00
presso Seminario II
We prove optimal interior 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 financial mathematics, when considering path-dependent derivative contracts with
the early exercise feature