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dc.contributor.authorBlanchet, Adrien
dc.contributor.authorDolbeault, Jean
HAL ID: 87
ORCID: 0000-0003-4234-2298
dc.contributor.authorMonneau, Régis
dc.date.accessioned2009-07-08T09:25:21Z
dc.date.available2009-07-08T09:25:21Z
dc.date.issued2006
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/942
dc.language.isoenen
dc.subjectparabolic obstacle problemen
dc.subjectfree boundary
dc.subjectblow-up
dc.subjectLiouville's result
dc.subjectmonotonicity formula
dc.subject.ddc519en
dc.titleOn the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficientsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherINRIA - Ecole Nationale des Ponts et Chaussées;France
dc.description.abstractenThis paper is devoted to continuity results of the time derivative of the solution to the one-dimensional parabolic obstacle problem with variable coefficients. Under regularity assumptions on the obstacle and on the coefficients, we prove that the time derivative of the solution is continuous for almost every time. When the solution is nondecreasing in time this result holds for every time. We also give an energy criterion which characterizes the continuity of the time derivative of the solution at a point of the free boundary. Such a problem arises in the pricing of american options in generalized Black-Scholes models of finance. Our results apply in financial mathematics.en
dc.relation.isversionofjnlnameJournal de Mathématiques Pures et Appliquées
dc.relation.isversionofjnlvol85en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2006
dc.relation.isversionofjnlpages371-414en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.matpur.2005.08.007
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00004421/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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