Timeline for References on the obstacle problem for the heat equation
Current License: CC BY-SA 3.0
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| Aug 2, 2017 at 8:37 | comment | added | user108310 | Thanks a lot. I'll check that book. Also, since a bounty has been offered for the question, I updated it writing down what I feel is missing and would like to see in addition. | |
| Jul 30, 2017 at 14:03 | comment | added | parsiad | For smooth pasting, see: Seydel, Rüdiger, and Rudiger Seydel. Tools for computational finance. Vol. 3. Berlin: Springer, 2006. The author deals with American options therein, but the technique works more broadly on appropriate $\varphi$. | |
| Jul 30, 2017 at 12:40 | comment | added | user108310 | Do you have a reference for the statement "You can use smooth pasting to write the solution with the heat kernel"? | |
| Jul 29, 2017 at 20:15 | history | edited | parsiad | CC BY-SA 3.0 |
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| Jul 29, 2017 at 20:15 | comment | added | user108310 | Also, I've asked a related question (mathematica.stackexchange.com/questions/152491/…) to which you may be able to contribute. | |
| Jul 29, 2017 at 20:14 | comment | added | user108310 | This is a useful answer. Thank you. If you find some other references or information, don't hesitate to add them. | |
| Jul 29, 2017 at 20:06 | history | edited | parsiad | CC BY-SA 3.0 |
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| Jul 29, 2017 at 19:52 | history | edited | parsiad | CC BY-SA 3.0 |
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| Jul 29, 2017 at 19:46 | history | edited | parsiad | CC BY-SA 3.0 |
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| Jul 29, 2017 at 19:40 | history | edited | parsiad | CC BY-SA 3.0 |
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| Jul 29, 2017 at 19:33 | history | edited | parsiad | CC BY-SA 3.0 |
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| Jul 29, 2017 at 19:24 | history | answered | parsiad | CC BY-SA 3.0 |