Existence and uniqueness of martingale solutions to option pricing equations with noise

DOI10.1007/s10986-020-09499-1zbMath1464.35347OpenAlexW3092843882MaRDI QIDQ831331

Ru Zhou, Jun Zhao, Peibiao Zhao

Publication date: 11 May 2021

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-020-09499-1

zbMATH Keywords

existence and uniquenessmartingale solutionincomplete hedgingoption pricing equation with noise

Mathematics Subject Classification ID

Navier-Stokes equations for incompressible viscous fluids (76D05) Microeconomic theory (price theory and economic markets) (91B24) Navier-Stokes equations (35Q30) Derivative securities (option pricing, hedging, etc.) (91G20) Existence problems for PDEs: global existence, local existence, non-existence (35A01) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

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