Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance

@inproceedings{Daskalopoulos2011ExistenceUA,
  title={Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance},
  author={Panagiota Daskalopoulos and Paul M. N. Feehan},
  year={2011}
}
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… CONTINUE READING