| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4620236 | Journal of Mathematical Analysis and Applications | 2009 | 8 Pages |
Abstract
We study a certain one-dimensional, degenerate parabolic partial differential equation with a boundary condition which arises in pricing of Asian options. Due to degeneracy of the partial differential operator and the non-smooth boundary condition, regularity of the generalized solution of such a problem remained unclear. We prove that the generalized solution of the problem is indeed a classical solution.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
