Calculus of Variations and Geometric Measure Theory

F. Gozzi - R. Monte - V. Vespri

Generation of analytic semigroups for degenerate elliptic operators arising in financial mathematics

created on 13 Dec 2002

[BibTeX]

Published Paper

Inserted: 13 dec 2002

Journal: Diff. Int Equations
Number: 15
Pages: 1085-1128
Year: 2002

Abstract:

n this paper we study the generation of analytic semigroup in the space $L^2(\mathbf{R}^d)$, and the characterization of the domain, for a family of degenerate elliptic operators with unbounded coefficients, which includes some well-known operators arising in Mathematical Finance. To prove the generation of analytic semigroups, the operators of the family are assumed to satisfy suitable growth and compensation conditions. Under stronger assumptions, we obtain also the characterization of the domain. Finally, various consequences of the obtained results are considered in connection with some applications (see, e.g., BARGOVE for financial applications). In a forthcoming paper, part II of this work, we shall examine the problem of the generation of analytic semigroup in $L^p(\mathbf{R}^d)$, where $p\in(2,+\infty]$, and the characterization of the domain, for the same family of operators.


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