Mathematical Finance and Probability Seminars
PDE Uniqueness for Diffusive Strict Local Martingales
Tuesday, March 10, 2020 at 11:50am - 12:50pm
Kasper Larsen- Rutgers University
For a real-valued diffusive strict local martingale, we prove a uniqueness result for the Cauchy problem for data with at most linear growth. Joint work with Umut Cetin (LSE).