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An initial-boundary value problem for parabolic Monge-Ampère equation in mathematical finance

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Abstract

This paper deals with some parabolic Monge-Ampère equation raised from mathematical finance: V s V yy +ry V y V yy −θV 2 y = 0 (V yy < 0). The existence and uniqueness of smooth solution to its initial-boundary value problem with some requirement is obtained.

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Authors and Affiliations

  1. Department of Mathematics, Fudan University, Shanghai, 200433, China

    Ming Li

  2. Department of Mathematics, Jilin University, Changchun, 130012, China

    Changyu Ren

Authors
  1. Ming Li
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  2. Changyu Ren
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Correspondence to Ming Li.

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Li, M., Ren, C. An initial-boundary value problem for parabolic Monge-Ampère equation in mathematical finance. Chin. Ann. Math. Ser. B 37, 705–712 (2016). https://doi.org/10.1007/s11401-016-0973-5

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  • DOI: https://doi.org/10.1007/s11401-016-0973-5

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