Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Analitic approach to solve a degenerate parabolic PDE for the Heston
  model   We present an analytic approach to solve a degenerate parabolic problem
associated to the Heston model, which is widely used in mathematical finance to
derive the price of an European option on an risky asset with stochastic
volatility. We give a variational formulation, involving weighted Sobolev
spaces, of the second order degenerate elliptic operator of the parabolic PDE.
We use this approach to prove, under appropriate assumptions on some involved
unknown parameters, the existence and uniqueness of weak solutions to the
parabolic problem on unbounded subdomains of the half-plane.

14
The categories of this paper are: math-ph
5
The categories of this paper are: gr-qc
23
The categories of this paper are: solv-int
33
The categories of this paper are: plasm-ph
26
The categories of this paper are: bayes-an
12
The categories of this paper are: nucl-th
27
The categories of this paper are: comp-gas
31
The categories of this paper are: ao-sci
8
The categories of this paper are: hep-ex
0
The categories of this paper are: hep-ph
13
The categories of this paper are: quant-ph
36
The categories of this paper are: cmp-lg
9
The categories of this paper are: nlin
20
The categories of this paper are: acc-phys
28
The categories of this paper are: alg-geom
37
The categories of this paper are: supr-con