A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients

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• 作者：Paul M.N. Feehan^a ; ^{feehan@math.rutgers.edu} ; Camelia A. Pop^b ; ^{cpop@math.upenn.edu}
• 关键词：primary ; 35J70 ; secondary ; 60J60
• 刊名：Journal of Differential Equations
• 出版年：2013
• 出版时间：15 June, 2013
• 年：2013
• 卷：254
• 期：12
• 页码：4401-4445
• 全文大小：584 K

文摘

Motivated by applications to probability and mathematical finance, we consider a parabolic partial differential equation on a half-space whose coefficients are suitably H?lder continuous and allowed to grow linearly in the spatial variable and which become degenerate along the boundary of the half-space. We establish existence and uniqueness of solutions in weighted H?lder spaces which incorporate both the degeneracy at the boundary and the unboundedness of the coefficients. In our companion article (Feehan and Pop ), we apply the main result of this article to show that the martingale problem associated with a degenerate-elliptic partial differential operator is well-posed in the sense of Stroock and Varadhan.