We consider a free boundary problem in an exterior domain $$\begin{aligned} {\left\{ \begin{array}{ll} Lu=g(u)&{}\text {in }\Omega \setminus K,\\ u=1 &{} \text {on }\partial K,\\ |\nabla u|=0 &{}\text {on }\partial \Omega , \end{array}\right. } \end{aligned}$$
L
u
=
g
(
u
)
in
Ω
\
K
,
u
=
1
on
∂
K
,
|
∇
u
|
=
0
on
∂
Ω
,
where K is a (given) convex and compact set in $${\mathbb R}^n$$
R
n
($$n\ge 2$$
n
≥
2
), $$\Omega =\{u>0\}\supset K$$
Ω
=
{
u
>
0
}
⊃
K
is an unknown set, and L is either a fully nonlinear or the p-Laplace operator. Under suitable assumptions on K and g, we prove the existence of a nonnegative quasi-concave solution to the above problem. We also consider the cases when the set K is contained in $$\{x_n=0\}$$
{
x
n
=
0
}
, and obtain similar results.