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摘要翻译：
假定终端条件至多为线性增长，当系数乘以二阶导数（即波动率）也是至多线性增长的函数时，Cauchy问题存在唯一的经典解。在本文中，我们给出了一个关于波动性的条件，它是Cauchy问题允许唯一解的充要条件。
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英文标题：
《On the uniqueness of classical solutions of Cauchy problems》
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作者：
Erhan Bayraktar, Hao Xing
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最新提交年份：
2009
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分类信息：
一级分类：Mathematics 数学
二级分类：Analysis of PDEs 偏微分方程分析
分类描述：Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE's, conservation laws, qualitative dynamics
存在唯一性，边界条件，线性和非线性算子，稳定性，孤子理论，可积偏微分方程，守恒律，定性动力学
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
Given that the terminal condition is of at most linear growth, it is well known that a Cauchy problem admits a unique classical solution when the coefficient multiplying the second derivative (i.e., the volatility) is also a function of at most linear growth. In this note, we give a condition on the volatility that is necessary and sufficient for a Cauchy problem to admit a unique solution.
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PDF链接：
https://arxiv.org/pdf/0908.1086
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