We give a direct proof of the Harnack inequality for a class ofKolmogorov operators associated with a linear SDE and we find theexplicit expression of the optimal Harnack constant. We discuss somepossible implication of the Harnack inequality in Finance: specificallywe infer no-arbitrage bounds for the value of self-Financing portfoliosin terms of the initial wealth.
Harnack inequality and no-arbitrage bounds for self-financing portfolios / A., Carciola; A., Pascucci; Polidoro, Sergio. - In: BOLETIN DE LA SOCIEDAD ESPANOLA DE MATEMATICA APLICADA. - ISSN 1575-9822. - STAMPA. - 49:(2009), pp. 19-31.
Harnack inequality and no-arbitrage bounds for self-financing portfolios
POLIDORO, Sergio
2009
Abstract
We give a direct proof of the Harnack inequality for a class ofKolmogorov operators associated with a linear SDE and we find theexplicit expression of the optimal Harnack constant. We discuss somepossible implication of the Harnack inequality in Finance: specificallywe infer no-arbitrage bounds for the value of self-Financing portfoliosin terms of the initial wealth.
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