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arxiv: 1112.4824 · v5 · pith:IXBOPV64new · submitted 2011-12-20 · 🧮 math.AP · math.PR· q-fin.CP· q-fin.PR

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

classification 🧮 math.AP math.PRq-fin.CPq-fin.PR
keywords coefficientsdifferentialpartialarticleboundaryhalf-spaceholderallowed
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Motivated by applications to probability and mathematical finance, we consider a parabolic partial differential equation on a half-space whose coefficients are suitably Holder 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 Holder spaces which incorporate both the degeneracy at the boundary and the unboundedness of the coefficients. In our companion article [arXiv:1211.4636], 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.

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