On the uniqueness of classical solutions of Cauchy problems
Bayraktar, E. & Xing, H.
(2010).
On the uniqueness of classical solutions of Cauchy problems.
Proceedings of the American Mathematical Society,
138(06), 2061-2064.
https://doi.org/10.1090/S0002-9939-10-10306-2
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 |
|---|---|
| Copyright holders | © 2010 American Mathematical Society |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.1090/S0002-9939-10-10306-2 |
| Date Deposited | 28 Jan 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/31871 |
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