On the uniqueness of classical solutions of Cauchy problems
AbstractGiven that the terminal condition is of at most linear growth, it is well known that a Cauchy problem admits a unique classical solution when the coefficient multiplying the second derivative (i.e., the volatility) is also a function of at most linear growth. In this note, we give a condition on the volatility that is necessary and sufficient for a Cauchy problem to admit a unique solution.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0908.1086.
Date of creation: Aug 2009
Date of revision: Sep 2009
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