English

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

R2 v1 2026-06-23T03:17:50.620Z