Author(s)

Coskun Guler¹, Volkan Oban²

¹Department of Mathematical Engineering, Yildiz Technical University, Istanbul, Turkey.
²Department of Mathematical Engineering, Istanbul Technical University, Istanbul, Turkey.

In this study, Inverse Problem for Dupire’s Equation with nonlocal boundary and integral conditions is studied. Then, by means of the some transformation, this equation is converted to diffusion equation. The conditions for the existence and uniqueness of a classical solution of the problem under consideration are established and continuous dependence of (p, v) on the data is shown. It is emphasized that this problem is well-posed.

Mathematical Finance, Dupire’s Formula, Dupire’s Equation, Local Volatility, Diffusion Equation, Inverse Problem, Well-Posedness

Guler, C. and Oban, V. (2017) On the Inverse Problem of Dupire’s Equation with Nonlocal Boundary and Integral Conditions. Journal of Mathematical Finance, 7, 934-940. doi: 10.4236/jmf.2017.74051.