Matches in SemOpenAlex for { <https://semopenalex.org/work/W4299408439> ?p ?o ?g. }
Showing items 1 to 68 of
68
with 100 items per page.
- W4299408439 abstract "The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for 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 whose coefficients have linear growth in the spatial variables and where the degeneracy in the operator symbol is proportional to the distance to the boundary of the half-plane. With the aid of weighted Sobolev spaces, we prove supremum bounds, a Harnack inequality, and Holder continuity near the boundary for solutions to variational equations defined by the elliptic Heston operator, as well as Holder continuity up to the boundary for solutions to variational inequalities defined by the elliptic Heston operator. 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." @default.
- W4299408439 created "2022-10-02" @default.
- W4299408439 creator A5064826043 @default.
- W4299408439 creator A5072070403 @default.
- W4299408439 date "2011-10-25" @default.
- W4299408439 modified "2023-09-24" @default.
- W4299408439 title "Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities" @default.
- W4299408439 doi "https://doi.org/10.48550/arxiv.1110.5594" @default.
- W4299408439 hasPublicationYear "2011" @default.
- W4299408439 type Work @default.
- W4299408439 citedByCount "0" @default.
- W4299408439 crossrefType "posted-content" @default.
- W4299408439 hasAuthorship W4299408439A5064826043 @default.
- W4299408439 hasAuthorship W4299408439A5072070403 @default.
- W4299408439 hasBestOaLocation W42994084391 @default.
- W4299408439 hasConcept C104317684 @default.
- W4299408439 hasConcept C134306372 @default.
- W4299408439 hasConcept C149782125 @default.
- W4299408439 hasConcept C158448853 @default.
- W4299408439 hasConcept C17020691 @default.
- W4299408439 hasConcept C185592680 @default.
- W4299408439 hasConcept C187625094 @default.
- W4299408439 hasConcept C24902271 @default.
- W4299408439 hasConcept C28826006 @default.
- W4299408439 hasConcept C33923547 @default.
- W4299408439 hasConcept C55493867 @default.
- W4299408439 hasConcept C62354387 @default.
- W4299408439 hasConcept C70610323 @default.
- W4299408439 hasConcept C70915906 @default.
- W4299408439 hasConcept C85393063 @default.
- W4299408439 hasConcept C86339819 @default.
- W4299408439 hasConcept C91602232 @default.
- W4299408439 hasConcept C93045229 @default.
- W4299408439 hasConceptScore W4299408439C104317684 @default.
- W4299408439 hasConceptScore W4299408439C134306372 @default.
- W4299408439 hasConceptScore W4299408439C149782125 @default.
- W4299408439 hasConceptScore W4299408439C158448853 @default.
- W4299408439 hasConceptScore W4299408439C17020691 @default.
- W4299408439 hasConceptScore W4299408439C185592680 @default.
- W4299408439 hasConceptScore W4299408439C187625094 @default.
- W4299408439 hasConceptScore W4299408439C24902271 @default.
- W4299408439 hasConceptScore W4299408439C28826006 @default.
- W4299408439 hasConceptScore W4299408439C33923547 @default.
- W4299408439 hasConceptScore W4299408439C55493867 @default.
- W4299408439 hasConceptScore W4299408439C62354387 @default.
- W4299408439 hasConceptScore W4299408439C70610323 @default.
- W4299408439 hasConceptScore W4299408439C70915906 @default.
- W4299408439 hasConceptScore W4299408439C85393063 @default.
- W4299408439 hasConceptScore W4299408439C86339819 @default.
- W4299408439 hasConceptScore W4299408439C91602232 @default.
- W4299408439 hasConceptScore W4299408439C93045229 @default.
- W4299408439 hasLocation W42994084391 @default.
- W4299408439 hasLocation W42994084392 @default.
- W4299408439 hasOpenAccess W4299408439 @default.
- W4299408439 hasPrimaryLocation W42994084391 @default.
- W4299408439 hasRelatedWork W1905558604 @default.
- W4299408439 hasRelatedWork W2062784052 @default.
- W4299408439 hasRelatedWork W2163857559 @default.
- W4299408439 hasRelatedWork W2796128417 @default.
- W4299408439 hasRelatedWork W2952690348 @default.
- W4299408439 hasRelatedWork W3123460721 @default.
- W4299408439 hasRelatedWork W3125531682 @default.
- W4299408439 hasRelatedWork W3126048690 @default.
- W4299408439 hasRelatedWork W3182913019 @default.
- W4299408439 hasRelatedWork W4293542720 @default.
- W4299408439 isParatext "false" @default.
- W4299408439 isRetracted "false" @default.
- W4299408439 workType "article" @default.