Regularity Results for a Class of Semilinear Parabolic Degenerate Equations and Applications
Papi, Marco
Commun. Math. Sci., Tome 1 (2003) no. 1, p. 229-244 / Harvested from Project Euclid
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We prove some regularity for viscosity solutions to strongly degenerate parabolic semilinear problems. These results apply to a specific model used for pricing Mortgage-Backed Securities and allow a complete justification of the existence of the proposed risk-neutral-measure.
Publié le : 2003-06-14
Classification:  
@article{1118152069,
     author = {Papi, Marco},
     title = {Regularity Results for a Class of Semilinear Parabolic Degenerate
Equations and Applications},
     journal = {Commun. Math. Sci.},
     volume = {1},
     number = {1},
     year = {2003},
     pages = { 229-244},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1118152069}
}

Papi, Marco. Regularity Results for a Class of Semilinear Parabolic Degenerate
Equations and Applications. Commun. Math. Sci., Tome 1 (2003) no. 1, pp.  229-244. http://gdmltest.u-ga.fr/item/1118152069/