Uniqueness in cauchy problems for diffusive real-valued strict local martingales
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- Yukihiro Tsuzuki, 2024. "Boundary conditions at infinity for Black-Scholes equations," Papers 2401.05549, arXiv.org, revised Sep 2024.
- Ekaterina A. Ladykova & Olga S. Rozanova, 2025. "On non-uniqueness in the option valuation problem," Papers 2501.18721, arXiv.org.
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More about this item
Keywords
boundary layer; Cauchy problem; strict local martingales; Sturm-Liouville ODEs;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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