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Publication Date:
May 2008
ISSN:
1569-3945
DOI:
10.1515/jiip.2007.050

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Editor-in-Chief: Kabanikhin, Sergey I.

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Inverse problems for the Black–Scholes equation and related problems

S. G. Pyatkov

1Sobolev Institute of Mathematics, pros. Akademika Koptyuga 4, 630090 Novosi-birsk; Ugra state university, Chekhova str. 16, 628007 Hanty-Mansiisk, Russia. Email: pyatkov@math.nsc.ru, pyatkov@uriit.ru

Citation Information: Journal of Inverse and Ill-posed Problems jiip. Volume 15, Issue 9, Pages 955–974, ISSN (Online) 1569-3945, ISSN (Print) 0928-0219, DOI: 10.1515/jiip.2007.050, May 2008

Publication History:
Received:
2007-09-01
Published Online:
2008-05-07

We consider an inverse problem of finding a solution u and a coefficient in the equation

where l 0 is an elliptic operator of the second order and l 1 is a first order operator. A function a(x) is unknown on some subset G 0G and is given on the set G \ G 0. The conditions of the first boundary value problem are augmented with the overdetermination condition on the set G 0, which can be considered as the partial final overdetermination condition. Under some conditions on the data of the problem, the existence and uniqueness questions are studied.

Keywords: Inverse problem; parabolic equation; boundary value problem; financial mathematics

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