Summary
We study a nonlinear degenerate Cauchy problem arising in mathematical finance. We prove the existence of a strong local solution and we study its regularity in the framework of subelliptic operators on nilpotent Lie groups. Moreover we give conditions for the existence of global solutions.
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© 2003 Springer-Verlag Italia
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Polidoro, S. (2003). A nonlinear PDE in mathematical finance. In: Brezzi, F., Buffa, A., Corsaro, S., Murli, A. (eds) Numerical Mathematics and Advanced Applications. Springer, Milano. https://doi.org/10.1007/978-88-470-2089-4_40
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DOI: https://doi.org/10.1007/978-88-470-2089-4_40
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-2167-9
Online ISBN: 978-88-470-2089-4
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