메뉴 건너뛰기




Volumn 85, Issue 3, 2006, Pages 371-414

On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients

Author keywords

Blow up; Free boundary; Liouville's result; Monotonicity formula; Parabolic obstacle problem

Indexed keywords


EID: 33644592006     PISSN: 00217824     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matpur.2005.08.007     Document Type: Article
Times cited : (39)

References (30)
  • 1
    • 26444517448 scopus 로고    scopus 로고
    • An inverse problem for a parabolic variational inequality arising in volatility calibration with American options
    • (electronic)
    • Y. Achdou An inverse problem for a parabolic variational inequality arising in volatility calibration with American options SIAM J. Control Optim. 43 5 2005 1583-1615 (electronic)
    • (2005) SIAM J. Control Optim. , vol.43 , Issue.5 , pp. 1583-1615
    • Achdou, Y.1
  • 2
    • 0001832703 scopus 로고
    • A free boundary problem for semilinear elliptic equations
    • H.W. Alt D. Phillips A free boundary problem for semilinear elliptic equations J. Reine Angew. Math. 368 1986 63-107
    • (1986) J. Reine Angew. Math. , vol.368 , pp. 63-107
    • Alt, H.W.1    Phillips, D.2
  • 3
    • 33644597062 scopus 로고
    • Applications des inéquations variationnelles en contrôle stochastique
    • Paris: Dunod
    • A. Bensoussan J.-L. Lions Applications des inéquations variationnelles en contrôle stochastique Méthodes Mathématiques de l'Informatique vol. 6 1978 Dunod Paris
    • (1978) Méthodes Mathématiques De L'Informatique , vol.6
    • Bensoussan, A.1    Lions, J.-L.2
  • 4
    • 0038801066 scopus 로고    scopus 로고
    • Interest rate theory
    • Financial Mathematics (Bressanone, 1996) Springer-Verlag Berlin
    • T. Björk Interest rate theory Financial Mathematics (Bressanone, 1996) Lecture Notes in Math. vol. 1656 1997 Springer-Verlag Berlin 53-122
    • (1997) Lecture Notes in Math. , vol.1656 , pp. 53-122
    • Björk, T.1
  • 5
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • F. Black M. Scholes The pricing of options and corporate liabilities J. Polit. Econ. 81 1973 637-659
    • (1973) J. Polit. Econ. , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 6
    • 0003442989 scopus 로고
    • Collection Mathématiques Appliquées pour la Maîtrise Collection of Applied Mathematics for the Master's Degree Masson Paris
    • H. Brezis Analyse fonctionnelle: Théorie et applications Theory and applications Collection Mathématiques Appliquées pour la Maîtrise Collection of Applied Mathematics for the Master's Degree 1983 Masson Paris
    • (1983) Analyse Fonctionnelle: Théorie Et Applications (Theory and Applications)
    • Brezis, H.1
  • 7
    • 10044261717 scopus 로고    scopus 로고
    • Regularity of a free boundary in parabolic potential theory
    • (electronic)
    • L. Caffarelli A. Petrosyan H. Shahgholian Regularity of a free boundary in parabolic potential theory J. Amer. Math. Soc. 17 2004 827-869 (electronic)
    • (2004) J. Amer. Math. Soc. , vol.17 , pp. 827-869
    • Caffarelli, L.1    Petrosyan, A.2    Shahgholian, H.3
  • 8
    • 0000409224 scopus 로고
    • The regularity of free boundaries in higher dimensions
    • L.A. Caffarelli The regularity of free boundaries in higher dimensions Acta Math. 139 1977 155-184
    • (1977) Acta Math. , vol.139 , pp. 155-184
    • Caffarelli, L.A.1
  • 9
    • 4344675950 scopus 로고
    • Formule di maggiorazione e teoremi di esistenza per le soluzioni delle equazioni paraboliche in due variabili
    • C. Ciliberto Formule di maggiorazione e teoremi di esistenza per le soluzioni delle equazioni paraboliche in due variabili Ricerche Mat. 3 1954 40-75
    • (1954) Ricerche Mat. , vol.3 , pp. 40-75
    • Ciliberto, C.1
  • 10
    • 0036508902 scopus 로고    scopus 로고
    • Optimal stopping with random intervention times
    • P. Dupuis H. Wang Optimal stopping with random intervention times Adv. Appl. Probab. 34 2002 141-157
    • (2002) Adv. Appl. Probab. , vol.34 , pp. 141-157
    • Dupuis, P.1    Wang, H.2
  • 11
    • 0003372936 scopus 로고
    • Geometric Measure Theory
    • New York: Springer-Verlag New York Inc
    • H. Federer Geometric Measure Theory Die Grundlehren Math. Wiss. vol. 153 1969 Springer-Verlag New York Inc. New York
    • (1969) Die Grundlehren Math. Wiss. , vol.153
    • Federer, H.1
  • 13
    • 0039148584 scopus 로고
    • Parabolic variational inequalities in one space dimension and smoothness of the free boundary
    • A. Friedman Parabolic variational inequalities in one space dimension and smoothness of the free boundary J. Funct. Anal. 18 1975 151-176
    • (1975) J. Funct. Anal. , vol.18 , pp. 151-176
    • Friedman, A.1
  • 15
    • 84990616610 scopus 로고
    • Asymptotically self-similar blow-up of semilinear heat equations
    • Y. Giga R.V. Kohn Asymptotically self-similar blow-up of semilinear heat equations Comm. Pure Appl. Math. 38 1985 297-319
    • (1985) Comm. Pure Appl. Math. , vol.38 , pp. 297-319
    • Giga, Y.1    Kohn, R.V.2
  • 16
    • 0000743842 scopus 로고
    • Variational inequalities and the pricing of American options
    • P. Jaillet D. Lamberton B. Lapeyre Variational inequalities and the pricing of American options Acta Appl. Math. 21 1990 263-289
    • (1990) Acta Appl. Math. , vol.21 , pp. 263-289
    • Jaillet, P.1    Lamberton, D.2    Lapeyre, B.3
  • 17
    • 0003295459 scopus 로고
    • An Introduction to Variational Inequalities and Their Applications
    • New York: Academic Press Inc. (Harcourt Brace Jovanovich Publishers)
    • D. Kinderlehrer G. Stampacchia An Introduction to Variational Inequalities and Their Applications Pure Appl. Math. vol. 88 1980 Academic Press Inc. (Harcourt Brace Jovanovich Publishers) New York
    • (1980) Pure Appl. Math. , vol.88
    • Kinderlehrer, D.1    Stampacchia, G.2
  • 18
    • 0001156676 scopus 로고
    • Linear and Quasilinear Equations of Parabolic Type
    • Providence, RI: Amer. Math. Soc.Translated from the Russian by S. Smith
    • O.A. Ladyženskaja V.A. Solonnikov N.N. Ural'ceva Linear and Quasilinear Equations of Parabolic Type Transl. Math. Monogr. vol. 23 1967 Amer. Math. Soc. Providence, RI Translated from the Russian by S. Smith
    • (1967) Transl. Math. Monogr. , vol.23
    • Ladyženskaja, O.A.1    Solonnikov, V.A.2    Ural'ceva, N.N.3
  • 21
    • 84867974824 scopus 로고    scopus 로고
    • On the number of singularities for the obstacle problem in two dimensions
    • R. Monneau On the number of singularities for the obstacle problem in two dimensions J. Geom. Anal. 13 2003 359-389
    • (2003) J. Geom. Anal. , vol.13 , pp. 359-389
    • Monneau, R.1
  • 23
    • 0031677847 scopus 로고    scopus 로고
    • Optimal stopping of controlled jump diffusion processes: A viscosity solution approach
    • (electronic)
    • H. Pham Optimal stopping of controlled jump diffusion processes: A viscosity solution approach J. Math. Systems Estim. Control 8 1998 27 (electronic)
    • (1998) J. Math. Systems Estim. Control , vol.8 , pp. 27
    • Pham, H.1
  • 24
    • 15544363598 scopus 로고    scopus 로고
    • American options and the free boundary exercise region: A PDE approach
    • G. Rapuch American options and the free boundary exercise region: A PDE approach Interfaces Free Bound. 7 1 2005 79-98
    • (2005) Interfaces Free Bound. , vol.7 , Issue.1 , pp. 79-98
    • Rapuch, G.1
  • 25
    • 0003223521 scopus 로고
    • Obstacle Problems in Mathematical Physics
    • Amsterdam: North-Holland Publishing Co. Notas de Matemática (Mathematical Notes)
    • J.-F. Rodrigues Obstacle Problems in Mathematical Physics North-Holland Mathematics Studies vol. 134 1987 North-Holland Publishing Co. Amsterdam Notas de Matemática (Mathematical Notes), 114
    • (1987) North-Holland Mathematics Studies , vol.134 , pp. 114
    • Rodrigues, J.-F.1
  • 26
    • 11344250343 scopus 로고
    • An optimal stopping problem with linear reward
    • P. Van Moerbeke An optimal stopping problem with linear reward Acta Math. 132 1974 111-151
    • (1974) Acta Math. , vol.132 , pp. 111-151
    • Van Moerbeke, P.1
  • 27
    • 15544369821 scopus 로고    scopus 로고
    • Options américaines dans un modèle de Black-Scholes multidimensionnel
    • PhD thesis, Université de Marne-la-Vallée
    • S. Villeneuve, Options américaines dans un modèle de Black-Scholes multidimensionnel, PhD thesis, Université de Marne-la-Vallée, 1999
    • (1999)
    • Villeneuve, S.1
  • 28
    • 0033240169 scopus 로고    scopus 로고
    • Self-similar blow-up and Hausdorff dimension estimates for a class of parabolic free boundary problems
    • (electronic)
    • G.S. Weiss Self-similar blow-up and Hausdorff dimension estimates for a class of parabolic free boundary problems SIAM J. Math. Anal. 30 1999 623-644 (electronic)
    • (1999) SIAM J. Math. Anal. , vol.30 , pp. 623-644
    • Weiss, G.S.1
  • 29
    • 0034687902 scopus 로고    scopus 로고
    • The free boundary of a thermal wave in a strongly absorbing medium
    • G.S. Weiss The free boundary of a thermal wave in a strongly absorbing medium J. Differential Equations 160 2000 357-388
    • (2000) J. Differential Equations , vol.160 , pp. 357-388
    • Weiss, G.S.1
  • 30
    • 0038199404 scopus 로고
    • The Heat Equation
    • New York: Academic Press (Harcourt Brace Jovanovich Publishers)
    • D.V. Widder The Heat Equation Pure Appl. Math. vol. 67 1975 Academic Press (Harcourt Brace Jovanovich Publishers) New York
    • (1975) Pure Appl. Math. , vol.67
    • Widder, D.V.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.