A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients

DOI10.1016/J.JDE.2013.03.006zbMATH Open1284.35238arXiv1112.4824OpenAlexW2054579041MaRDI QIDQ389738FDOQ389738

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

Publication date: 21 January 2014

Published in: Journal of Differential Equations (Search for Journal in Brave)

Abstract: Motivated by applications to probability and mathematical finance, we consider a parabolic partial differential equation on a half-space whose coefficients are suitably Holder continuous and allowed to grow linearly in the spatial variable and which become degenerate along the boundary of the half-space. We establish existence and uniqueness of solutions in weighted Holder spaces which incorporate both the degeneracy at the boundary and the unboundedness of the coefficients. In our companion article [arXiv:1211.4636], we apply the main result of this article to show that the martingale problem associated with a degenerate-elliptic partial differential operator is well-posed in the sense of Stroock and Varadhan.

Full work available at URL: https://arxiv.org/abs/1112.4824

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zbMATH Keywords

half-spacedegenerate diffusion processHeston stochastic volatility process

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Diffusion processes (60J60) Initial-boundary value problems for second-order parabolic equations (35K20) Degenerate parabolic equations (35K65)

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Cited In (26)

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• Boundary-degenerate elliptic operators and Hölder continuity for solutions to variational equations and inequalities
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