Obstacle problems for nonlocal operators
Analysis of PDEs
2017-10-03 v2 Probability
Mathematical Finance
Abstract
We prove existence, uniqueness, and regularity of viscosity solutions to the stationary and evolution obstacle problems defined by a class of nonlocal operators that are not stable-like and may have supercritical drift. We give sufficient conditions on the coefficients of the operator to obtain H\"older and Lipschitz continuous solutions. The class of nonlocal operators that we consider include non-Gaussian asset price models widely used in mathematical finance, such as Variance Gamma Processes and Regular L\'evy Processes of Exponential type. In this context, the viscosity solutions that we analyze coincide with the prices of perpetual and finite expiry American options.
Cite
@article{arxiv.1709.10384,
title = {Obstacle problems for nonlocal operators},
author = {Donatella Danielli and Arshak Petrosyan and Camelia A. Pop},
journal= {arXiv preprint arXiv:1709.10384},
year = {2017}
}