相关论文: Obstacle problems for nonlocal operators: A brief …
We set up a general framework tailor-made to solve complement value problems governed by symmetric nonlinear integrodifferential $p$-L\'evy operators. A prototypical example of integrodifferential $p$-L\'evy operators is the well-known…
Inspired by the penalization of the domain approach of Lions & Sznitman, we give a sense to Neumann and oblique derivatives boundary value problems for nonlocal, possibly degenerate elliptic equations. Two different cases are considered:…
In this work, we consider the nonlocal obstacle problem with a given obstacle $\psi$ in a bounded Lipschitz domain $\Omega$ in $\mathbb{R}^{d}$, such that $\mathbb{K}_\psi^s=\{v\in H^s_0(\Omega):v\geq\psi \text{ a.e. in…
We prove the existence and uniqueness of solution of quasilinear stochastic partial differential equations with obstacle (OSPDEs in short) in degenerate case. Using De Giorgi's iteration, we deduce the $L^p-$estimates for the time-space…
We study certain obstacle type problems involving standard and nonlocal minimal surfaces. We obtain optimal regularity of the solution and a characterization of the free boundary.
In this paper we present a MATLAB version of a non-standard finite difference scheme for the numerical solution of the perpetual American put option models of financial markets. These models can be derived from the celebrated Black-Scholes…
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…
We study Neumann type boundary value problems for nonlocal equations related to L\'evy processes. Since these equations are nonlocal, Neumann type problems can be obtained in many ways, depending on the kind of reflection we impose on the…
In this paper we consider the following optimal stopping problem $$V^{\omega}_{\rm A}(s) = \sup_{\tau\in\mathcal{T}} \mathbb{E}_{s}[e^{-\int_0^\tau \omega(S_w) dw} g(S_\tau)],$$ where the process $S_t$ is a jump-diffusion process,…
We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…
We establish higher-order weighted Sobolev and Holder regularity for solutions to variational equations defined by the elliptic Heston operator, a linear second-order degenerate-elliptic operator arising in mathematical finance.…
We present an existence and uniqueness result for weak solutions of Dirichlet boundary value problems governed by a nonlocal operator in divergence form and in the presence of a datum which is assumed to belong only to $L^1(\Omega)$ and to…
In this paper, we study systems of nonlinear second-order variational inequalities with interconnected bilateral obstacles with non-local terms. They are of min-max and max-min types and related to a multiple modes zero-sum switching game…
We connect boundary conditions for one-sided pseudo-differential operators with the generators of modified one-sided L\'evy processes. On one hand this allows modellers to use appropriate boundary conditions with confidence when restricting…
We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…
We study some regularity issues for solutions of non-autonomous obstacle problems with $(p,q)$-growth. Under suitable assumptions, our analysis covers the main models available in the literature.
The obstacle problem is a class of free boundary problems which finds applications in many disciplines such as porous media, financial mathematics and optimal control. In this paper, we propose two operator-splitting methods to solve the…
Existence of stationary solutions to a nonlocal fourth-order elliptic obstacle problem arising from the modelling of microelectromechanical systems with heterogeneous dielectric properties is shown. The underlying variational structure of…
We show that bounded viscosity solutions of some nonlocal degenerate Isaacs type operators of order $2s$ are H\"older continuous, provided $s$ is sufficiently close to 1. As an application we obtain a Liouville theorem.
We show that the solutions to the nonlocal obstacle problems for the nonlocal $-\Delta_p^s$ operator, when the fractional parameter $s\to\sigma$ for $0<\sigma\leq1$, converge to the solution of the corresponding obstacle problem for…