Bayraktar, Erhan and Xing, Hao (2010) On the uniqueness of classical solutions of Cauchy problems. Proceedings of the American Mathematical Society, 138 (06). pp. 2061-2064. ISSN 0002-9939
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 is also a function of at most linear growth. In this paper, we give a condition on the volatility that is necessary and sufficient for a Cauchy problem to admit a unique solution.
|Additional Information:||© 2010 American Mathematical Society|
|Library of Congress subject classification:||H Social Sciences > HA Statistics|
|Sets:||Departments > Statistics|
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