Çetin, Umut ORCID: 0000-0001-8905-853X and Larsen, Kasper
(2023)
Uniqueness in cauchy problems for diffusive real-valued strict local martingales.
Transactions of the American Mathematical Society Series B, 10 (13).
pp. 381-406.
ISSN 2330-0000
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Text (Uniqueness in Cauchy problems for diffusive real valued strict local martingales)
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Abstract
For a real-valued one dimensional diffusive strict local martingale, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local 1 2 \frac 12 -Hölder condition. Under the weaker Engelbert-Schmidt conditions, we provide a set in which the Cauchy problem has a unique weak solution. We exemplify our results using quadratic normal volatility models and the two dimensional Bessel process.
Item Type: | Article |
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Additional Information: | © 2023 The Author(s). |
Divisions: | Statistics |
Subjects: | Q Science > QA Mathematics H Social Sciences > HA Statistics |
Date Deposited: | 27 Apr 2023 14:21 |
Last Modified: | 12 Aug 2024 02:06 |
URI: | http://eprints.lse.ac.uk/id/eprint/118743 |
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