On Inverse Problem of Determination of the Coefficient in the Black-Scholes Type Equation
We prove the existence and uniqueness theorems for inverse problem of determination of the lower coefficient in the Black-Scholes type equation with additional condition of integral observation. These results are based on the investigation of unique solvability of corresponding direct problem which is of independent interest. We give the example of the inverse problem for which the conditions of the theorems proved are fulfilled.
This work was partially supported by the Program of competitiveness increase of the National Research Nuclear University MEPhI (Moscow Engineering Physics Institute); contract No. 02.a03.21.0005, 27.08.2013.
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