Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type

作者：Agliardi R^*; Popivanov P; Slavova A

来源：Nonlinear Analysis: Real World Applications , 2011, 12(3): 1429-1436.

DOI：10.1016/j.nonrwa.2010.10.003

• Parabolic PDE
• Black-Scholes model
• Nonlinear PDEs

This paper studies some less known properties of the Black-Scholes equation and of its nonlinear modifications arising in Finance. In particular, the nonhypoellipticity of the linear Black-Scholes equation is shown; a comparison principle is formulated for a class of nonlinear degenerate parabolic equations which incorporates the most relevant financial applications; finally, some comments on the properties of the viscosity solutions are given.

• 出版日期2011-6