Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
Abstract
We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are C1,α regular on special finite dimensional subspaces. The problem has origins in pricing and hedging of derivatives of risky assets in mathematical finance.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.