تقرير
The Heston stochastic volatility model has a boundary trace at zero volatility
| العنوان: | The Heston stochastic volatility model has a boundary trace at zero volatility |
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| المؤلفون: | Alziary, Bénédicte, Takáč, Peter |
| سنة النشر: | 2020 |
| المجموعة: | Mathematics |
| مصطلحات موضوعية: | Mathematics - Analysis of PDEs, Primary 35B65, 35K65, Secondary 35K15, 91G80 |
| الوصف: | We establish boundary regularity results in H\"older spaces for the degenerate parabolic problem obtained from the Heston stochastic volatility model in Mathematical Finance set up in the spatial domain (upper half-plane) $\mathbb{H} = \mathbb{R}\times (0,\infty)\subset \mathbb{R}^2$. Starting with nonsmooth initial data $u_0\in H$, we take advantage of smoothing properties of the parabolic semigroup $\mathrm{e}^{-t\mathcal{A}}\colon H\to H$, $t\in \mathbb{R}_+$, generated by the Heston model, to derive the smoothness of the solution $u(t) = \mathrm{e}^{-t\mathcal{A}} u_0$ for all $t>0$. The existence and uniqueness of a weak solution is obtained in a Hilbert space $H = L^2(\mathbb{H};\mathfrak{w})$ with very weak growth restrictions at infinity and on the boundary $\partial\mathbb{H} = \mathbb{R}\times \{ 0\}\subset \mathbb{R}^2$ of the half-plane $\mathbb{H}$. We investigate the influence of the boundary behavior of the initial data $u_0\in H$ on the boundary behavior of $u(t)$ for $t>0$. Comment: 48 pages |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2004.00444 |
| رقم الأكسشن: | edsarx.2004.00444 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |