Regularity properties of the non local parabolic obstacle problem
Presenter
March 8, 2011
Keywords:
- applied PDE
- partial differential equations
- boundary layers and boundary conditions
- parabolic PDE
- regularity of initial data, localized initial data
MSC:
- 35R35
- 35R37
- 35-xx
- 35Qxx
- 35B65
- 35B60
Abstract
We intend to give an idea of the methods used to show regularity for parabolic obstacle involving fractional diffusion in the case where the obstacle coincides with the initial data. This is a case concerning American options. We will review the stationary case, where some of the ideas generate, to then pass to the evolution case.