On the uniqueness of classical solutions of Cauchy problems

DOI10.1090/S0002-9939-10-10306-2MaRDI QIDQ3566668zbMATH OpenFDO

Authors Erhan Bayraktar, Hao Xing

Publication date 8 June 2010

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0908.1086

zbMATH Keywords

a necessary and sufficient condition for uniquenessEuropean call-type optionsstrict local martingales

Mathematics Subject Classification ID

Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Degenerate parabolic equations (35K65) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Martingales with continuous parameter (60G44)

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 (i.e., the volatility) is also a function of at most linear growth. In this note, we give a condition on the volatility that is necessary and sufficient for a Cauchy problem to admit a unique solution.

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Cites work

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Cited in

(13)

• Diffusion transformations, Black-Scholes equation and optimal stopping
• Strict local martingale deflators and valuing American call-type options
• Distribution of the time to explosion for one-dimensional diffusions
• On backward stochastic differential equations and strict local martingales
• scientific article; zbMATH DE number 1053234 (Why is no real title available?)
• Outperforming the market portfolio with a given probability
• Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution
• The stochastic solution to a Cauchy problem for degenerate parabolic equations
• scientific article; zbMATH DE number 3379419 (Why is no real title available?)
• A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
• Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
• On the Feller-Dynkin and the martingale property of one-dimensional diffusions
• Short communication: finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market

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