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Hölder regularity for a Kolmogorov equation. (English) Zbl 1116.35330
Summary: We study the interior regularity properties of the solutions to the degenerate parabolic equation, \[ \Delta_{x}u+b\partial_{y}u-\partial_{t}u=f, \qquad(x,y,t)\in \mathbb{R} ^{N}\times \mathbb{R}\times\mathbb{R} , \] which arises in mathematical finance and in the theory of diffusion processes.

MSC:
35K57 Reaction-diffusion equations
35K65 Degenerate parabolic equations
35K70 Ultraparabolic equations, pseudoparabolic equations, etc.
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