Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance

DOI10.1016/j.jde.2016.10.030zbMath1362.35327arXiv1512.04592OpenAlexW2963361196MaRDI QIDQ729931

D. Kharzeev

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

zbMATH Keywords

stochastic differential equationviscosity solutionpartial regularityKolmogorov equationhedging a derivativestochastic delay problemvolatility depending on past history of the asset

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Viscosity solutions to PDEs (35D40)

Related Items (8)

Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives ⋮ A Stochastic Model of Economic Growth in Time-Space ⋮ Partial smoothing of delay transition semigroups acting on special functions ⋮ Robust Portfolio Choice with Sticky Wages ⋮ Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions ⋮ Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension ⋮ Unnamed Item ⋮ Viscosity Solutions of Path-Dependent PDEs with Randomized Time

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