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A nonlinear PDE in mathematical finance

  • S. Polidoro
Conference paper

Summary

We study a nonlinear degenerate Cauchy problem arising in mathematical finance. We prove the existence of a strong local solution and we study its regularity in the framework of subelliptic operators on nilpotent Lie groups. Moreover we give conditions for the existence of global solutions.

Keywords

Cauchy Problem Viscosity Solution Representation Formula Lipschitz Continuous Function Mathematical Finance 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2003

Authors and Affiliations

  • S. Polidoro
    • 1
  1. 1.Dipartimento di MatematicaUniversità di BolognaBolognaItaly

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