For a real-valued diffusive strict local martingale, we prove a uniqueness result for the Cauchy problem for data with at most linear growth. Joint work with Umut Cetin (LSE).
Event Details
PDE Uniqueness for Diffusive Strict Local Martingales
- Event Date: March 10, 2020
- Event End Date: March 10, 2020
- Event Start Time: 11:50 AM
- Event End Time: 12:50 PM
- Event Location: Hill Center 425
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Kasper Larsen- Rutgers University