Cover Image

Strong existence and uniqueness of a calibrated local stochastic volatility model

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Mustapha, Scander
Format:	Preprint
Published:	2024
Subjects:	Probability Analysis of PDEs Mathematical Finance 60G99, 35A01, 35A02
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

On non-uniqueness of solutions to degenerate parabolic equations in the context of option pricing in the Heston model
by: Boyko, Ruslan R.
Published: (2025)

Fractional and Integer Order Sobolev Spaces for Compact Metric Graphs
by: Awadelkarim, Elsiddig, et al.
Published: (2025)

On non-uniqueness in the option valuation problem
by: Ladykova, Ekaterina A., et al.
Published: (2025)

Navier-Stokes Equations with Fractional Dissipation and Associated Doubly Stochastic Yule Cascades
by: Dascaliuc, Radu, et al.
Published: (2025)

Short-time existence and uniqueness for some infinite-dimensional Nash systems
by: Redaelli, Davide Francesco
Published: (2024)

On the nonlocal heat equation for certain Lévy operators and the uniqueness of positive solutions
by: Gonzálvez, Irene, et al.
Published: (2025)

Higher order expansion for the probabilistic local well-posedness theory for a cubic nonlinear Schrödinger equation
by: Casteras, Jean-Baptiste, et al.
Published: (2024)

On the stochastic selection of integral curves of a rough vector field
by: Pitcho, Jules
Published: (2024)

Fractional cross-diffusion in a bounded domain: existence, weak-strong uniqueness, and long-time asymptotics
by: De Nitti, Nicola, et al.
Published: (2024)

Non-existence results for a system of wave inequalities on locally finite graphs
by: Duong, Anh Tuan, et al.
Published: (2026)

The Cauchy problem for nonlinear dispersive models of long internal waves in the presence of the Coriolis force
by: Freire, Ricardo, et al.
Published: (2025)

Non-uniqueness in law of the surface quasi-geostrophic equations: the case of linear multiplicative noise
by: Yamazaki, Kazuo
Published: (2023)

$L^{p}$ Mild Solution to Stochastic Incompressible inhomogeneous Navier-Stokes Equations
by: Li, Yachun, et al.
Published: (2024)

Analysis of a three-dimensional rapidly rotating convection model without thermal diffusion
by: Cao, Chongsheng, et al.
Published: (2025)

Strong solutions to degenerate SDEs and uniqueness for degenerate Fokker-Planck equations
by: Grube, Sebastian
Published: (2024)

Existence and uniqueness of solutions of unsteady Darcy-Brinkman problem for modelling miscible reactive flows in porous media
by: Roy, Pankaj, et al.
Published: (2025)

Quenching time and probability estimates for a stochastic reaction-diffusion system with coupled inner singular absorption terms driven by mixed noises
by: Kavallaris, Nikos I., et al.
Published: (2025)

Well-posedness of the heat equation in domains with topological transitions
by: Olshanskii, Maxim, et al.
Published: (2026)

On the well-posedness of the Cahn-Hilliard-Biot model and its applications to tumor growth
by: Fritz, Marvin
Published: (2023)

Local well-posedness of subcritical non-linear heat equations with Gaussian initial data
by: Chevyrev, Ilya, et al.
Published: (2024)

Path-dependent PDEs for volatility derivatives
by: Pannier, Alexandre
Published: (2023)

On evolution PDEs on co-evolving graphs
by: Esposito, Antonio, et al.
Published: (2023)

Direct Problem for Gas Diffusion in Polar Firn with Variable Coefficients
by: Moufawad, Sophie, et al.
Published: (2026)

Pathwise Solvability and Bubbling in 2D Stochastic Landau-Lifshitz-Gilbert Equations
by: Goldys, Ben, et al.
Published: (2025)

Evolution equations on co-evolving graphs: long-time behaviour and the graph continuity equation
by: Carrillo, José Antonio, et al.
Published: (2025)

Non-linear degenerate parabolic flow equations and a finer differential structure on Wasserstein spaces
by: Schichl, Arthur
Published: (2025)

Co-moving volumes and the Reynolds transport theorem for two-phase flows
by: Bothe, Dieter, et al.
Published: (2026)

Strong well-posedness and separation properties for a bulk-surface convective Cahn--Hilliard system with singular potentials
by: Knopf, Patrik, et al.
Published: (2024)

Well-posedness of a bulk-surface convective Cahn--Hilliard system with dynamic boundary conditions
by: Knopf, Patrik, et al.
Published: (2024)

Local existence of solutions and blow-up criteria for the Boussinesq equations in Lei-Lin-Gevrey Spaces
by: Guidolin, Patrícia L., et al.
Published: (2026)

Global well-posedness for a two-dimensional Navier-Stokes-Cahn-Hilliard-Boussinesq system with singular potential
by: Chen, Lingxi
Published: (2023)

Global existence of dissipative solutions to the Camassa--Holm equation with transport noise
by: Galimberti, Luca, et al.
Published: (2022)

On the well-posedness of two-dimensional Muskat problem with an elastic interface
by: Wan, Lizhe, et al.
Published: (2026)

Well-posedness and exponential stability of dispersive nonlinear Maxwell equations with PML: An evolutionary approach
by: Margenberg, Nils, et al.
Published: (2024)

Well-posedness and Long-time Behavior of a Bulk-surface Coupled Cahn-Hilliard-diffusion System with Singular Potential for Lipid Raft Formation
by: Wu, Hao, et al.
Published: (2023)

Uniqueness and some related estimates for Dirichlet problem with fractional Laplacian
by: Li, Congming, et al.
Published: (2022)

Upper bound of higher-order Sobolev norms for Zkaharov system in one space dimension
by: Kobayashi, Nobutatsu
Published: (2024)

Deep-water and shallow-water limits of the intermediate long wave equation
by: Li, Guopeng
Published: (2022)

Stabilization for the wave equation with fully subciritical logarithmic nonlinearity
by: Ha, Tae Gab
Published: (2026)

Uniqueness for the Schrödinger Equation on Graphs with Potential Vanishing at Infinity
by: Punzo, Fabio, et al.
Published: (2024)