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Determination of a source term in a partial differential equation arising in finance. (English) Zbl 1170.35328
Summary: We discuss the Lipschitz stability for an inverse problem of determining the source term in option pricing. The main tool for establishing the result is the Carleman estimate.

MSC:
35B35 Stability in context of PDEs
35Q91 PDEs in connection with game theory, economics, social and behavioral sciences
35R30 Inverse problems for PDEs
35K20 Initial-boundary value problems for second-order parabolic equations
91G80 Financial applications of other theories
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