A nonlinear PDE in mathematical finance

S. Polidoro
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S. Polidoro: Università di Bologna, Dipartimento di Matematica

A chapter in Numerical Mathematics and Advanced Applications, 2003, pp 429-433 from Springer

Abstract: Summary We study a nonlinear degenerate Cauchy problem arising in mathematical finance. We prove the existence of a strong local solution and we study its regularity in the framework of subelliptic operators on nilpotent Lie groups. Moreover we give conditions for the existence of global solutions.

Keywords: Cauchy Problem; Viscosity Solution; Representation Formula; Lipschitz Continuous Function; Mathematical Finance (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-2089-4_40

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DOI: 10.1007/978-88-470-2089-4_40

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