Work

On the uniqueness of classical solutions of Cauchy problems

Year: 2010

Type: article

Abstract: Given that the terminal condition is of at most linear growth, it is well known that a Cauchy problem admits a unique classical solution when the coefficient multiplying the second derivative is also a function of at most linear growth. In this paper, we give a condition on the volatility that is necessary and sufficient for a Cauchy problem to admit a unique solution.

Source: Proceedings of the American Mathematical Society

DOI: 10.1090/s0002-9939-10-10306-2

Authors: Erhan Bayraktar, Hao Xing

Institutions: University of Michigan, Boston University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funder: National Science Foundation

Award: AMC-SS: Problems in Mathematical Finance