Local Well-Posedness for Generalized Semilinear Black-Scholes Equations

Published 14 Dec 2018 in math.AP | (1812.05783v1)

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.

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