On Inverse Problem of Determination of the Coefficient in the Black-Scholes Type Equation

Abstract

We prove the existence and uniqueness theorems for inverse problem of determination of the lower coefficient in the Black-Scholes type equation with additional condition of integral observation. These results are based on the investigation of unique solvability of corresponding direct problem which is of independent interest. We give the example of the inverse problem for which the conditions of the theorems proved are fulfilled.