Degenrate Obstacle Problems
Speaker: Paul Feehan, Rutgers University
Location: Warren Weaver Hall 1302
Date: Thursday, February 16, 2012, 11 a.m.
Degenerate elliptic and parabolic obstacle problems arise in mathematical finance when valuing American-style options on an underlying asset modeled by a degenerate diffusion process. We will describe our work on existence, uniqueness, and regularity of solutions to stationary and evolutionary variational inequalities and associated obstacle problems when the underlying asset is modeled by a degenerate diffusion process. This is joint work with Panagiota Daskalopoulos (Department of Mathematics, Columbia University) and Camelia Pop (Department of Mathematics, Rutgers University).