Uniqueness in Cauchy problems for diffusive real-valued strict local martingales

preprint2022arXivOpen access

Abstract

For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local Hölder condition. Under the weaker Engelbert-Schmidt conditions, we provide a set in which the Cauchy problem has a unique weak solution. We exemplify our results using quadratic normal volatility models and the two dimensional Bessel process.

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