Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations

MaRDI QIDQ2264099zbMATH OpenFDO

Authors Paul M. N. Feehan, Camelia A. Pop

Publication date 20 March 2015

Published in Advances in Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.2658, https://projecteuclid.org/euclid.ade/1423055204

zbMATH Keywords

mathematical finance

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Degenerate elliptic equations (35J70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Partial differential inequalities and systems of partial differential inequalities (35R45) Variational inequalities (49J40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: We establish higher-order weighted Sobolev and Holder regularity for solutions to variational equations defined by the elliptic Heston operator, a linear second-order degenerate-elliptic operator arising in mathematical finance. Furthermore, given $C^{i}nfty$-smooth data, we prove $C^{i}nfty$-regularity of solutions up to the portion of the boundary where the operator is degenerate. In mathematical finance, solutions to obstacle problems for the elliptic Heston operator correspond to value functions for perpetual American-style options on the underlying asset.

Recommendations

• scientific article; zbMATH DE number 1322545
• Regularity and Existence Results for Degenerate Elliptic Operators
• On the variational Dirichlet problem for degenerate elliptic operators
• scientific article; zbMATH DE number 5506985
• scientific article; zbMATH DE number 665571
• On degenerate elliptic equations of high order and pseudodifferential operators with degeneration
• scientific article; zbMATH DE number 774739
• Generation of analytic semigroups and domain characterization for degenerate elliptic operators with unbounded coefficients arising in financial mathematics. I.
• On solvability of variational Dirichlet problem for a class of degenerate elliptic operators
• scientific article; zbMATH DE number 709055

Cited in

(22)

• Weighted \(W^{1, p}\) estimates for weak solutions of degenerate elliptic equations with coefficients degenerate in one variable
• Boundary-degenerate elliptic operators and Hölder continuity for solutions to variational equations and inequalities
• Weighted mixed-norm \(L_p\)-estimates for elliptic and parabolic equations in non-divergence form with singular coefficients
• Higher regularity up to boundary for degenerate parabolic equations
• Boundary estimates for a degenerate parabolic equation with partial Dirichlet boundary conditions
• Regularity for parabolic equations with singular or degenerate coefficients
• A classical Perron method for existence of smooth solutions to boundary value and obstacle problems for degenerate-elliptic operators via holomorphic maps
• Option prices under liquidity risk as weak solutions of semilinear diffusion equations
• Schauder a priori estimates and regularity of solutions to boundary-degenerate elliptic linear second-order partial differential equations
• The Heston stochastic volatility model has a boundary trace at zero volatility
• Weighted mixed-norm \(L_p\) estimates for equations in non-divergence form with singular coefficients: The Dirichlet problem
• Perturbations of local maxima and comparison principles for boundary-degenerate linear differential equations
• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients
• Variational Analysis for Options with Stochastic Volatility and Multiple Factors
• scientific article; zbMATH DE number 7007302 (Why is no real title available?)
• Variational Formulation of American Option Prices in the Heston Model
• Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions
• \( C^{1,\alpha}\) regularity for degenerate parabolic equations arising from the Heston model
• Global estimates in generalized Morrey spaces for singular or degenerate elliptic systems
• Global regularity estimates for p(x)-Laplacian variational inequalities with singular or degenerate matrix-valued weights
• \(C^{1,1}\) regularity for degenerate elliptic obstacle problems

This page was built for publication: Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2264099)