Obstacle problems for nonlocal operators: A brief overview
Analysis of PDEs
2018-07-31 v1
Abstract
In this note, we give a brief overview of obstacle problems for nonlocal operators, focusing on the applications to financial mathematics. The class of nonlocal operators that we consider can be viewed as infinitesimal generators of non-Gaussian asset price models, such as Variance Gamma Processes and Regular L\'evy Processes of Exponential type. In this context, we analyze the existence, uniqueness and regularity of viscosity solutions to obstacle problems which correspond to prices of perpetual and finite expiry American options. Complete proofs can be found in arXiv:1709.10384, where these results have originally appeared.
Keywords
Cite
@article{arxiv.1807.10910,
title = {Obstacle problems for nonlocal operators: A brief overview},
author = {Donatella Danielli and Arshak Petrosyan and Camelia A. Pop},
journal= {arXiv preprint arXiv:1807.10910},
year = {2018}
}
Comments
12 pages, 1 figure. arXiv admin note: text overlap with arXiv:1709.10384