Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance

Mauro Rosestolato, Andrzej Świech

Published 2015-12-14Version 1

We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are $C^{1,\alpha}$ regular on special finite dimensional subspaces. The problem has origins in pricing and hedging of derivatives of risky assets in mathematical finance.