Generation of Analytic Semigroups and Domain Characterization for Degenerate Elliptic Operators with Unbounded Coefficients Arising in Financial Mathematics. Part II

Massimiliano Giuli (), Fausto Gozzi, Roberto Monte () and Vincenzo Vespri ()
Additional contact information
Massimiliano Giuli: Dipartimento di Sistemi ed Istituzioni per l’Economia
Roberto Monte: Dipartimento di Studi Economico-Finanziari e Metodi Quantitativi
Vincenzo Vespri: Dipartimento di Matematica Ulisse Dini

A chapter in Functional Analysis and Evolution Equations, 2007, pp 315-330 from Springer

Abstract: Abstract This paper is devoted to study the generation of analytic semigroup for a family of degenerate elliptic operators (with unbounded coefficients) which includes well-known operators arising in mathematical finance. The generation property is proved by assuming some compensation conditions among the coefficients and applying a suitable modification of the techniques developed in [16]. Using the results proved in [11] concerning the generation in the space L 2(ℝ d ), we prove the generation results in L p (ℝ d ) for p ∈ [1,+∞]. These results have several consequences in connection with the financial applications [3, 11].

Keywords: Generation of analytic semigroup; second-order degenerate partial differential equations of elliptic and parabolic type; localization method (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7643-7794-6_21

Ordering information: This item can be ordered from
http://www.springer.com/9783764377946

DOI: 10.1007/978-3-7643-7794-6_21

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().