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
Abstract
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.
| Item Type: | Article |
|---|---|
| Additional Information: | © 2010 American Mathematical Society |
| Library of Congress subject classification: | H Social Sciences > HA Statistics |
| Sets: | Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/31871/ |
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