Penn Arts & Sciences Logo

Probability and Combinatorics

Tuesday, April 5, 2022 - 3:30pm

Kasper Larsen

Rutgers University


Temple University

Wachman Hall 617

For a real-valued one-dimensional diffusive strict local martingale, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution. We exemplify our results using quadratic normal volatility models and the two-dimensional Bessel process. Joint work with Umut Cetin (LSE).