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math.AP2016
Free boundary regularity in the parabolic fractional obstacle problem
Begoña Barrios, Alessio Figalli, Xavier Ros-Oton
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…
math.AP2016
The structure of the free boundary in the fully nonlinear thin obstacle problem
Xavier Ros-Oton, Joaquim Serra
We study the regularity of the free boundary in the fully nonlinear thin obstacle problem. Our main result establishes that the free boundary is near regular points.