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• W1505774756 abstract "The Heston stochastic volatility process is a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order, degenerate-elliptic partial differential operator, where the degeneracy in the operator symbol is proportional to the distance to the boundary of the half-plane. In mathematical finance, solutions to the obstacle problem for the elliptic Heston operator correspond to value functions for perpetual American-style options on the underlying asset. With the aid of weighted Sobolev spaces and weighted Hölder spaces, we establish the optimal C1,1 regularity (up to the boundary of the half-plane) for solutions to obstacle problems for the elliptic Heston operator when the obstacle functions are sufficiently smooth." @default.
• W1505774756 created "2016-06-24" @default.
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• W1505774756 date "2016-03-01" @default.
• W1505774756 modified "2023-10-04" @default.
• W1505774756 title "C1,1 regularity for degenerate elliptic obstacle problems" @default.
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• W1505774756 doi "https://doi.org/10.1016/j.jde.2015.11.037" @default.
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