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  • 标题:On the Inverse Problem of Dupire’s Equation with Nonlocal Boundary and Integral Conditions
  • 本地全文:下载
  • 作者:Coskun Guler ; Volkan Oban
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2017
  • 卷号:07
  • 期号:04
  • 页码:934-940
  • DOI:10.4236/jmf.2017.74051
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:In this study, Inverse Problem for Dupire’s Equation with nonlocal boundary and integral conditions is studied. Then, by means of the some transformation, this equation is converted to diffusion equation. The conditions for the existence and uniqueness of a classical solution of the problem under consideration are established and continuous dependence of ( p , v ) on the data is shown. It is emphasized that this problem is well-posed.
  • 关键词:Mathematical Finance;Dupire’s Formula;Dupire’s Equation;Local Volatility;Diffusion Equation;Inverse Problem;Well-Posedness
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