Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
DOI10.1016/j.jde.2016.10.030zbMath1362.35327arXiv1512.04592MaRDI QIDQ729931
Publication date: 22 December 2016
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.04592
stochastic differential equation; viscosity solution; partial regularity; Kolmogorov equation; hedging a derivative; stochastic delay problem; volatility depending on past history of the asset
91G80: Financial applications of other theories
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
35R15: PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables)
35D40: Viscosity solutions to PDEs
