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The notation $C_b^{1,2}([0,\infty )\times \mathbb{R})$ ordinarily denotes functions with continuous time derivative and two continuous space derivatives, with the function and indicated derivatives bounded globally. A different condition, often intended in finite-horizon partial differential equations, is membership in $C_b^{1,2}([0,T]\times \mathbb{R})$ for each finite $T$, allowing bounds to grow with $T$. These conventions must be distinguished in a long-time growth problem: the second permits divergence with time; the first does not. There is no universal notation for the finite-horizon condition, so it should be stated explicitly.

For log-price dynamics $dX=-{\sigma }^{2}dt/2+\sigma d{W}^X$ and volatility dynamics $d\sigma =A(\sigma )dt+B(\sigma )d{W}^{\sigma }$, with correlation $\rho$, the exponential payoff ansatz $U=e^{\theta X}V$ reduces the backward partial differential equation to the displayed one-dimensional equation. The terminal value is $V(T,\sigma )=1$. Correlation changes the volatility drift, while the log-price drift supplies the negative $\theta$ term.

The Feynman-Kac formula represents solutions of certain parabolic partial differential equations as conditional expectations of functionals of a diffusion. It follows by applying Itô formula to the solution along the diffusion and taking expectations.

A boundary trace transformed over a finite time interval using the dispersion relation of a linear partial differential equation. For integrable trace data and a polynomial dispersion function, it is an entire function of the complex spectral parameter. Its growth depends on $\mathrm{Re}\omega (k)$; multiplying by $e^{-\omega (k)t}$ changes the integrand to the causal factor $e^{-\omega (k)(t-s)}$.

An exact-solution method that transforms a nonlinear partial differential equation into equations bilinear in auxiliary Hirota tau functions. Finite exponential expansions of the Hirota tau functions produce soliton families. The auxiliary exponential coefficients need not all be positive.

A linear partial differential equation is a partial differential equation in which the unknown function and its partial derivatives occur linearly, with coefficients independent of the unknown. Its homogeneous solutions obey the superposition principle.