We study the interior regularity properties of the solutions of a nonlinear degenerate equation arising in mathematical finance.We set the problem in the framework of Hörmander type operatorswithout assuming any hypothesis on the degeneracy of the associated Lie algebra. We prove that the viscosity solutions are indeed classical solutions.
Regularity properties of viscosity solutions of a non-Hörmander degenerate equation / Citti, G.; Pascucci, A.; Polidoro, Sergio. - In: JOURNAL DE MATHÉMATIQUES PURES ET APPLIQUÉES. - ISSN 0021-7824. - STAMPA. - 80:9(2001), pp. 901-918. [10.1016/S0021-7824(01)01223-5]
Regularity properties of viscosity solutions of a non-Hörmander degenerate equation
POLIDORO, Sergio
2001
Abstract
We study the interior regularity properties of the solutions of a nonlinear degenerate equation arising in mathematical finance.We set the problem in the framework of Hörmander type operatorswithout assuming any hypothesis on the degeneracy of the associated Lie algebra. We prove that the viscosity solutions are indeed classical solutions.
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