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arXiv · 1709.10384

Obstacle problems for nonlocal operators

Donatella Danielli·Arshak Petrosyan·Camelia A. Pop
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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 Hölder 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 Lévy Processes of Exponential type. In this context, the viscosity solutions that we analyze coincide with the prices of perpetual and finite expiry American options.

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Donatella Danielli, Arshak Petrosyan, Camelia A. Pop. 2017-10-02. Obstacle problems for nonlocal operators. https://arxiv.org/abs/1709.10384

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