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arXiv · 1512.04592

Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance

Mauro Rosestolato·Andrzej Świech
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Abstract

We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are $C^{1,\alpha}$ regular on special finite dimensional subspaces. The problem has origins in pricing and hedging of derivatives of risky assets in mathematical finance.

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Mauro Rosestolato, Andrzej Świech. 2015-12-14. Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance. https://arxiv.org/abs/1512.04592

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