\( C^{1,\alpha}\) regularity for degenerate parabolic equations arising from the Heston model

DOI10.3934/cpaa.2023122OpenAlexW4389921692MaRDI QIDQ6181191

Yaoyuan Zhang, Lihe Wang

Publication date: 22 January 2024

Published in: Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/cpaa.2023122

zbMATH Keywords

Harnack inequalitydegenerate parabolic equationHölder spaceHeston stochastic volatility processboundary degeneration

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Initial-boundary value problems for second-order parabolic equations (35K20) Degenerate parabolic equations (35K65)

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