Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : This note is devoted to continuity results of the time derivative of the solution to the onedimensional parabolic obstacle problem with variable coefficients. It applies to the smooth fit principle in numerical analysis and in financial mathematics. It relies on various tools for the study of free boundary problems: blow-up method, monotonicity formulae, Liouville's results.
 
 
ON THE ONE-DIMENSIONAL PARABOLIC OBSTACLE PROBLEM WITH VARIABLE COEFFICIENTS
BLANCHET Adrien, DOLBEAULT Jean, MONNEAU Regis
2004-54
12-10-2004
 
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