Space–time analyticity of weak solutions to linear parabolic systems with variable coefficients
@article{Tak2012SpacetimeAO, title={Space–time analyticity of weak solutions to linear parabolic systems with variable coefficients}, author={Peter Tak{\'a}{\vc}}, journal={Journal of Functional Analysis}, year={2012}, volume={263}, pages={50-88} }
9 Citations
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We find new quantitative estimates on the space-time analyticity of solutions to linear parabolic equations with time-independent coefficients and apply them to obtain observability inequalities for…
The Heston stochastic volatility model has a boundary trace at zero volatility.
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Existence of an endogenously complete equilibrium driven by a diffusion
- EconomicsFinance Stochastics
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The existence of complete Radner equilibria is established in an economy whose parameters are driven by a diffusion process and the time-inhomogeneous case is treated.
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Monotone methods in counterparty risk models with non-linear Black-Scholes-type equations
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A nonlinear Black-Scholes-type equation is studied within counterparty risk models. The classical hypothesis on the uniform Lipschitz-continuity of the nonlinear reaction function allows for an…
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