Year: 2015
Type: preprint
Abstract: In this paper we study regularity estimates for the solution to an obstacle problem arising in stochastic impulse control theory. We prove using elementary methods the known sharp $C_{loc}^{1,1}$ estimate for the solution. The new proof is also easily generalizable to stochastic impulse control problems with fully noninear operators. Moreover we obtain new regularity estimates for the free boundary in the classical case.
Source: arXiv (Cornell University)
Author: Jain, Rohit
Language: English
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W1767914456