An Initial-Boundary Value Problem for Parabolic Monge-Ampère Equation in Mathematical Finance
Citation：
Ming LI,Changyu REN.An Initial-Boundary Value Problem for Parabolic Monge-Ampère Equation in Mathematical Finance[J].Chinese Annals of Mathematics B,2016,37(5):705~712
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Authors：
Ming LI; Changyu REN
Abstract：
This paper deals with some parabolic Monge-Amp\`ere equation raised
from mathematical finance: $ V_sV_{yy}+ryV_yV_{yy}-\theta V_y^2=0(V_{yy}<0)$. The existence and uniqueness of smooth solution to its
initial-boundary value problem with some requirement is obtained.
