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arXiv 0908.1086math.APmath.PRq-fin.CP
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柯西问题经典解的唯一性

On the uniqueness of classical solutions of Cauchy problems

Erhan Bayraktar, Hao Xing

摘要:

考虑到终端条件至多是线性增长的,众所周知,当系数乘以二阶导数(即,波动性)也是至多线性增长的函数。在本文中,我们给出了一个关于波动率的条件,该条件是Cauchy问题存在唯一解的充分必要条件。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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