Kampen, Jorg; Avellaneda, Marco - In: Applied Mathematical Finance 10 (2003) 3, pp. 215-228
Sufficient conditions for existence and a closed form probabilistic representation are obtained for solutions of nonlinear parabolic equations with gauge function term. In particular, the result applies to the generalized Leland equationwhere BSn is the n-dimensional Black-Scholes operator, Ai...