Regularity results for a class of semilinear parabolic degenerate equations and applications (Q2583436)

The regularity of bounded viscosity solutions for the semilinear parabolic equation of degenerate type \[ u_t +H(x,t,u,Du,D^2u)=0 \] is investigated. The Hamiltonian function is given by \[ H(x,t,u,p,X)= - \text{tr}(\sigma'(t)\sigma(t)X) +(\mu(x,t),p) +\lambda(u)| \sigma(t)p| ^2 +\eta(u)(\sigma(t)p,\omega(x,t)) +f(x,t,u), \] where \(\sigma(t)\) is \(d\times n\) matrix, \(d\leq n\) -- the spatial dimension, \(\sigma'\) is transpose matrix. The specific structure of Hamiltonian comes from a problem in mathematical finance. The parabolicity can be strongly degenerate (for \(d<n\) -- must be); also no monotonicity with respect to \(u\) possessed. Under suitable assumptions on the coefficients, the bounded viscosity solution is proved to be \(W^2_\infty\) in \(x\) and Lipschitz continuous in \(t\).