Kasper Larsen (Rutgers University): Uniqueness in Cauchy problems for diffusive real-valued strict local martingales

Abstract:

For a real-valued one dimensional diffusive strict local martingale,
we provide a set of smooth functions in which the Cauchy problem has a unique classical
solution. We exemplify our results using quadratic normal volatility models and the two
dimensional Bessel process. Joint work with Umut Cetin (LSE).

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