{
  "id": "1512.04592",
  "version": "v1",
  "published": "2015-12-14T22:40:42.000Z",
  "updated": "2015-12-14T22:40:42.000Z",
  "title": "Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance",
  "authors": [
    "Mauro Rosestolato",
    "Andrzej Świech"
  ],
  "categories": [
    "math.PR",
    "math.AP"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-12-14T22:40:42.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "viscosity solutions",
      "kolmogorov equations arising",
      "mathematical finance",
      "partial regularity",
      "special finite dimensional subspaces"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv151204592R"
    }
  }
}