A boundary point lemma for Black-Scholes type operators

DOI10.3934/CPAA.2006.5.505MaRDI QIDQ2474763zbMATH OpenOpenAlexFDO

Authors Erik Ekström, Johan Tysk

Publication date 6 March 2008

Published in Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0509231

zbMATH Keywords

Hopf boundary point lemma

Mathematics Subject Classification ID

Maximum principles in context of PDEs (35B50) Degenerate parabolic equations (35K65)

Abstract: We prove a sharp version of the Hopf boundary point lemma for Black-Scholes type equations. We also investigate the existence and the regularity of the spatial derivative of the solutions at the spatial boundary.

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Cited in

(1)

• On the boundary point principle for divergence-type equations

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