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

DOI10.1016/J.JDE.2016.10.030zbMATH Open1362.35327arXiv1512.04592OpenAlexW2963361196MaRDI QIDQ729931FDOQ729931

Authors: D. Kharzeev 

Publication date: 22 December 2016

Published in: Journal of Differential Equations (Search for Journal in Brave)

Abstract: We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are $C^{1,alpha}$ regular on special finite dimensional subspaces. The problem has origins in pricing and hedging of derivatives of risky assets in mathematical finance.

Full work available at URL: https://arxiv.org/abs/1512.04592

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cited In (13)

• Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
• Regularity results for a class of semilinear parabolic degenerate equations and applications
• Kolmogorov equations arising in finance: direct and inverse problems
• A stochastic model of economic growth in time-space
• On the Cauchy Problem for a Nonlinear Kolmogorov Equation
• Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
• Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
• Robust portfolio choice with sticky wages
• Partial smoothing of delay transition semigroups acting on special functions
• A numerical method for solving stochastic Volterra-Fredholm integral equation
• Viscosity solutions of path-dependent PDEs with randomized time
• Optimal control of stochastic delay differential equations: optimal feedback controls
• Hölder regularity for a Kolmogorov equation

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