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).
Probability and Combinatorics
Tuesday, April 5, 2022 - 3:30pm
Kasper Larsen
Rutgers University
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