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

Mauro Rosestolato, Andrzej Świech

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

Name: Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
Author: Mauro Rosestolato, Andrzej Świech

Mauro Rosestolato, Andrzej Świech

paper2015-12-14English

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quantitative financearxiv

Description

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