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arXiv · 1812.11253

Interior second derivative estimates for nonlinear diffusions

Gregoire Loeper·Fernando Quiros
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Abstract

By an extension of of some estimates due to Crandall and Pierre and Di Benedetto we derive consequences for fully nonlinear parabolic equations of the form $\dt v + F(t,x,D^2v)=0$, where $F$ can be both singular and degenerate elliptic and also non-homogeneous. Such equations appear in the theory of option pricing with market impact.

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Gregoire Loeper, Fernando Quiros. 2018-12-29. Interior second derivative estimates for nonlinear diffusions. https://arxiv.org/abs/1812.11253

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