Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions

We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our article focuses on the Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance and a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order, degenerate, elliptic partial differential operator whose coefficients have linear growth in the spatial variables and where the degeneracy in the operator symbol is proportional to the distance to the boundary of the half-plane. In mathematical finance, solutions to terminal/boundary value or obstacle problems for the parabolic Heston operator correspond to value functions for American-style options on the underlying asset.Comment: 47 pages; to appear in Transactions of the American Mathematical Societ

Schauder a priori estimates and regularity of solutions to boundary-degenerate elliptic linear second-order partial differential equations

We establish Schauder a priori estimates and regularity for solutions to a class of boundary-degenerate elliptic linear second-order partial differential equations. Furthermore, given a smooth source function, we prove regularity of solutions up to the portion of the boundary where the operator is degenerate. Degenerate-elliptic operators of the kind described in our article appear in a diverse range of applications, including as generators of affine diffusion processes employed in stochastic volatility models in mathematical finance, generators of diffusion processes arising in mathematical biology, and the study of porous media.Comment: 58 pages, 1 figure. To appear in the Journal of Differential Equations. Incorporates final galley proof corrections corresponding to published versio

An SO(3)-monopole cobordism formula relating Donaldson and Seiberg-Witten invariants

We prove an analogue of the Kotschick-Morgan conjecture in the context of SO(3) monopoles, obtaining a formula relating the Donaldson and Seiberg-Witten invariants of smooth four-manifolds using the SO(3)-monopole cobordism. The main technical difficulty in the SO(3)-monopole program relating the Seiberg-Witten and Donaldson invariants has been to compute intersection pairings on links of strata of reducible SO(3) monopoles, namely the moduli spaces of Seiberg-Witten monopoles lying in lower-level strata of the Uhlenbeck compactification of the moduli space of SO(3) monopoles [arXiv:dg-ga/9710032]. In this monograph, we prove --- modulo a gluing theorem which is an extension of our earlier work in [arXiv:math/9907107] --- that these intersection pairings can be expressed in terms of topological data and Seiberg-Witten invariants of the four-manifold. This conclusion is analogous to the Kotschick-Morgan conjecture concerning the wall-crossing formula for Donaldson invariants of a four-manifold with $b_2^+=1$; that wall-crossing formula and the resulting structure of Donaldson invariants for four-manifolds with $b_2^+=1$ were established, assuming the Kotschick-Morgan conjecture, by Goettsche [arXiv:alg-geom/9506018] and Goettsche and Zagier [arXiv:alg-geom/9612020]. In this monograph, we reduce the proof of the Kotschick-Morgan conjecture to an extension of previously established gluing theorems for anti-self-dual SO(3) connections (see [arXiv:math/9812060] and references therein). Since the first version of our monograph was circulated, applications of our results have appeared in the proof of Property P for knots by Kronheimer and Mrowka [arXiv:math/0311489] and work of Sivek on Donaldson invariants for symplectic four-manifolds [arXiv:1301.0377].Comment: x + 229 page

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

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.Comment: 62 pages, 2 figures. Accepted for publication in Communications in Partial Differential Equations. Incorporates final galley proof corrections corresponding to published versio