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Inverse problems for the Black–Scholes equation and related problems
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S. G. Pyatkov
Published/Copyright:
May 7, 2008
We consider an inverse problem of finding a solution u and a coefficient 
in the equation
where l0 is an elliptic operator of the second order and l1 is a first order operator. A function a(x) is unknown on some subset G0 ⊂ G and is given on the set G \ G0. The conditions of the first boundary value problem are augmented with the overdetermination condition on the set G0, which can be considered as the partial final overdetermination condition. Under some conditions on the data of the problem, the existence and uniqueness questions are studied.
Received: 2007-September-01
Published Online: 2008-05-07
Published in Print: 2007-12-30
© de Gruyter
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Articles in the same Issue
- Table of solutions and coefficients for second-order differential equations and inverse problems
- Multidimensional inverse problem for isotropic elasticity system in a sphere
- Identification of the hydraulic conductivities in a saltwater intrusion problem
- Inverse problems for the Black–Scholes equation and related problems
Keywords for this article
Inverse problem;
parabolic equation;
boundary value problem;
financial mathematics
Articles in the same Issue
- Table of solutions and coefficients for second-order differential equations and inverse problems
- Multidimensional inverse problem for isotropic elasticity system in a sphere
- Identification of the hydraulic conductivities in a saltwater intrusion problem
- Inverse problems for the Black–Scholes equation and related problems
