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- W4311897332 abstract "We establish higher-order weighted Sobolev and Holder regularity for solutions to variational equations defined by the elliptic Heston operator, a linear second-order degenerate-elliptic operator arising in mathematical finance. Furthermore, given $C^infty$-smooth data, we prove $C^infty$-regularity of solutions up to the portion of the boundary where the operator is degenerate. 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.
- W4311897332 created "2023-01-02" @default.
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- W4311897332 date "2012-08-13" @default.
- W4311897332 modified "2023-09-23" @default.
- W4311897332 title "Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations" @default.
- W4311897332 doi "https://doi.org/10.48550/arxiv.1208.2658" @default.
- W4311897332 hasPublicationYear "2012" @default.
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