Skip to main content

Parabolic PDEs with variable coefficients: uniqueness

  • Chapter
PDE and Martingale Methods in Option Pricing

Part of the book series: Bocconi & Springer Series ((BS))

  • 3481 Accesses

Abstract

In this chapter we consider elliptic-parabolic equations with variable coefficients of the form

$$ L_a u: = Lu - au = 0, $$
(6.1)

where L is the second order operator

$$ L = \frac{1} {2}\sum\limits_{j,k = 1}^N {c_{jk} \partial _{x_j x_k } + } \sum\limits_{j = 1}^N {b_j \partial _{x_j } - } \partial _t , (t,x) \in \mathbb{R}^{N + 1} . $$
(6.2)

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

eBook
USD 16.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 119.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 119.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Author information

Authors and Affiliations

Authors

Rights and permissions

Reprints and permissions

Copyright information

© 2011 Springer-Verlag Italia

About this chapter

Cite this chapter

Pascucci, A. (2011). Parabolic PDEs with variable coefficients: uniqueness. In: PDE and Martingale Methods in Option Pricing. Bocconi & Springer Series. Springer, Milano. https://doi.org/10.1007/978-88-470-1781-8_6

Download citation

Publish with us

Policies and ethics