@inproceedings{9ffd3b1b695444cda543e505732bcc18,
title = "Obstacle Problems for Nonlocal Operators: A Brief Overview",
abstract = "In this note, we give a brief overview of obstacle problems for nonlocal operators, focusing on the applications to financial mathematics. The class of nonlocal operators that we consider can be viewed as infinitesimal generators of non-Gaussian asset price models, such as Variance Gamma Processes and Regular L{\'e}vy Processes of Exponential type. In this context, we analyze the existence, uniqueness, and regularity of viscosity solutions to obstacle problems which correspond to prices of perpetual and finite expiry American options.",
keywords = "American options, Existence and uniqueness, L{\'e}vy processes, Nonlocal operators, Obstacle problem, Viscosity solutions",
author = "Donatella Danielli and Arshak Petrosyan and Pop, {Camelia A.}",
note = "Publisher Copyright: {\textcopyright} 2020, Springer Nature Switzerland AG.; 4th Conference of the International Society for Nonparametric Statistics, ISNPS 2018 ; Conference date: 11-06-2018 Through 15-06-2018",
year = "2020",
doi = "10.1007/978-3-030-57306-5_15",
language = "English (US)",
isbn = "9783030573058",
series = "Springer Proceedings in Mathematics and Statistics",
publisher = "Springer",
pages = "157--172",
editor = "{La Rocca}, Michele and Brunero Liseo and Luigi Salmaso",
booktitle = "Nonparametric Statistics - 4th ISNPS 2018",
}