Regularity Results for a class of Semilinear Parabolic Degenerate Equations and Applications
Abstract
We consider a possibly strongly degenerate parabolic semilinear problem which can be applied to a differential model for pricing financial derivatives. We prove the asked regularity for applying the Ito's formula which is used for building the differential model.
 Publication:

arXiv Mathematics eprints
 Pub Date:
 September 2001
 arXiv:
 arXiv:math/0109225
 Bibcode:
 2001math......9225P
 Keywords:

 Mathematics  Analysis of PDEs;
 Mathematics  Probability
 EPrint:
 QuadernoIAC (2001)