Interior second derivative estimates for nonlinear diffusions
arXiv:1812.11253
Abstract
By an extension of of some estimates due to Crandall and Pierre and Di Benedetto we derive consequences for fully nonlinear parabolic equations of the form $\dt v + F(t,x,D^2v)=0$, where can be both singular and degenerate elliptic and also non-homogeneous. Such equations appear in the theory of option pricing with market impact.