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arXiv 1605.00544math.AP
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抛物分数阶障碍问题的自由边界正则性

Free boundary regularity in the parabolic fractional obstacle problem

Begoña Barrios, Alessio Figalli, Xavier Ros-Oton

摘要:

当资产价格由纯跳跃Lévy过程驱动时,美式期权模型中的分数拉普拉斯算子自然会出现抛物障碍问题。本文研究了自由边界的正则性。我们的主要结果建立了,当$s>\frac12$,自由边界是$C^{1,α}$图在$x$和$t$附近的任何正规自由边界点$(x_0,t_0)\in \partial\{u>φ\}$。此外,我们还证明了解决方案$u$是$C^{1+s}$在$x$和$t$在这些点附近,与精确的扩展形式\[u(x,t)-φ(x)=c_0\bigl((x-x_0)\cdot e+a(t-t_0)\bigr)_+^{1+s}+o\bigl(|x-x_0|^{1+s+α}+ |t-t_0|^{1+s+α}\bigr),\]与$c_0>0$,$e\in \mathbb{S}^{n-1}$,和$a>0$。

英文摘要:

The parabolic obstacle problem for the fractional Laplacian naturally arises in American option models when the assets prices are driven by pure jump Lévy processes. In this paper we study the regularity of the free boundary. Our main result establishes that, when $s>\frac12$, the free boundary is a $C^{1,α}$ graph in $x$ and $t$ near any regular free boundary point $(x_0,t_0)\in \partial\{u>φ\}$. Furthermore, we also prove that solutions $u$ are $C^{1+s}$ in $x$ and $t$ near such points, with a precise expansion of the form \[u(x,t)-φ(x)=c_0\bigl((x-x_0)\cdot e+a(t-t_0)\bigr)_+^{1+s}+o\bigl(|x-x_0|^{1+s+α}+ |t-t_0|^{1+s+α}\bigr),\] with $c_0>0$, $e\in \mathbb{S}^{n-1}$, and $a>0$.

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