Local Well-Posedness for Generalized Semilinear Black-Scholes Equations

Daniel Oliveira da Silva; Kamilla Igibayeva; Adelina Khoroshevskaya; Zhanna Sakayeva

Local Well-Posedness for Generalized Semilinear Black-Scholes Equations

Analysis of PDEs 2018-12-17 v1

Authors: Daniel Oliveira da Silva , Kamilla Igibayeva , Adelina Khoroshevskaya , Zhanna Sakayeva

Abstract

We consider some parabolic equations which are model problems for a variety of nonlinear generalizations to the Black-Scholes equation of mathematical finance. In particular, we prove local well-posedness for the Cauchy problem with initial data in $L^{p}$ spaces.

Keywords

parabolic equations black-scholes equation nonlinear generalizations local well-posedness cauchy problem l^p spaces

Cite

@article{arxiv.1812.05783,
  title  = {Local Well-Posedness for Generalized Semilinear Black-Scholes Equations},
  author = {Daniel Oliveira da Silva and Kamilla Igibayeva and Adelina Khoroshevskaya and Zhanna Sakayeva},
  journal= {arXiv preprint arXiv:1812.05783},
  year   = {2018}
}

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