Classical and Weak Solutions for Two Models in Mathematical Finance

We study two mathematical models, arising in financial mathematics. These models are one-dimensional analogues of the famous Black-Scholes equation on finite interval. The main difficulty is the degeneration at the both ends of the space interval. First, classical solutions are studied. Positivity and convexity properties of the solutions are discussed. Variational formulation in weighted Sobolev spaces is introduced and existence and uniqueness of the weak solution is proved. Maximum principle for weak solution is discussed.