Uniqueness in Cauchy problems for diffusive real-valued strict local martingales

Autor:	Cetin, Umut, Larsen, Kasper
Rok vydání:	2020
Předmět:	Quantitative Finance - Mathematical Finance
Druh dokumentu:	Working Paper
Popis:	For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local H\"older condition. Under the weaker Engelbert-Schmidt conditions, we provide a set in which the Cauchy problem has a unique weak solution. We exemplify our results using quadratic normal volatility models and the two dimensional Bessel process.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2007.15041 Zobrazit plný text záznamu View this record from Arxiv