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Hölder regularity for a Kolmogorov equation

Author(s): Andrea Pascucci
Journal: Trans. Amer. Math. Soc. 355 (2003), 901-924.
MSC (2000): Primary 35K57, 35K65, 35K70
Posted: October 1, 2002
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Abstract: We study the interior regularity properties of the solutions to the degenerate parabolic equation,

\begin{displaymath}\Delta_{x}u+b\partial_{y}u-\partial_{t}u=f, \qquad (x,y,t)\in \mathbb{R} ^{N}\times \mathbb{R}\times\mathbb{R} ,\end{displaymath}

which arises in mathematical finance and in the theory of diffusion processes.

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Additional Information:

Andrea Pascucci
Affiliation: Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy
Email: pascucci@dm.unibo.it

DOI: 10.1090/S0002-9947-02-03151-3
PII: S 0002-9947(02)03151-3
Received by editor(s): June 27, 2002
Posted: October 1, 2002
Additional Notes: Investigation supported by the University of Bologna. Funds for selected research topics
Copyright of article: Copyright 2002, American Mathematical Society

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