A nonlinear PDE in mathematical finance

  • S. Polidoro
Conference paper


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.


Cauchy Problem Viscosity Solution Representation Formula Lipschitz Continuous Function Mathematical Finance 
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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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