Analysis of a Degenerate Obstacle Problem on an Unbounded Set Arising in the Environment
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- Díaz & Faghloumi Appl Math Optim (2002) 45: 251. doi:10.1007/s00245-001-0038-2
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We study a class of optimization dynamics problems related to investment under uncertainty. The general model problem is reformulated in terms of an obstacle problem associated to a second-order elliptic operator which is not in divergence form. The spatial domain is unbounded and no boundary conditions are a priori specified. By using the special structure of the differential operator and the spatial domain, and some approximating arguments, we show the existence and uniqueness of a solution of the problem. We also study the regularity of the solution and give some estimates on the location of the coincidence set.