Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance

Published 14 Dec 2015 in math.PR and math.AP | (1512.04592v3)

Abstract: We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are $C^{1,\alpha}$ regular on special finite dimensional subspaces. The problem has origins in pricing and hedging of derivatives of risky assets in mathematical finance.

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