We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are C1+α regular on special finite dimensional subspaces. The problem has origins in hedging derivatives of risky assets in mathematical finance.
Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
Rosestolato M.;
2017-01-01
Abstract
We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are C1+α regular on special finite dimensional subspaces. The problem has origins in hedging derivatives of risky assets in mathematical finance.
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