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.
2009
49
19
31
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.
A., Carciola; A., Pascucci; Polidoro, Sergio
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/616656
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