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Maximum principles for boundary-degenerate second-order linear elliptic differential operators

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  • Paul M. N. Feehan

Abstract

We prove weak and strong maximum principles, including a Hopf lemma, for smooth subsolutions to equations defined by linear, second-order, partial differential operators whose principal symbols vanish along a portion of the domain boundary. The boundary regularity property of the smooth subsolutions along this boundary vanishing locus ensures that these maximum principles hold irrespective of the sign of the Fichera function. Boundary conditions need only be prescribed on the complement in the domain boundary of the principal symbol vanishing locus. We obtain uniqueness and a priori maximum principle estimates for smooth solutions to boundary value and obstacle problems defined by these boundary-degenerate elliptic operators for partial Dirichlet or Neumann boundary conditions along the complement of the boundary vanishing locus. We also prove weak maximum principles and uniqueness for solutions to the corresponding variational equations and inequalities defined with the aide of weighted Sobolev spaces. The domain is allowed to be unbounded when the operator coefficients and solutions obey certain growth conditions.

Suggested Citation

  • Paul M. N. Feehan, 2012. "Maximum principles for boundary-degenerate second-order linear elliptic differential operators," Papers 1204.6613, arXiv.org, revised Sep 2013.
    • Handle: RePEc:arx:papers:1204.6613
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    1. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
    2. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
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    Cited by:

    1. Alziary Chassat, Bénédicte & Takac, Peter, 2017. "On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets," TSE Working Papers 17-796, Toulouse School of Economics (TSE).

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