We give a direct proof of the Harnack inequality for a class of Kolmogorov operators associated with a linear SDE and we find the explicit expression of the optimal Harnack constant. We discuss some possible implication of the Harnack inequality in finance: specifically we infer no-arbitrage bounds for the value of self-financing portfolios in terms of the initial wealth.
Titolo: | Harnack inequality and no-arbitrage bounds for self-financing portfolios |
Autore/i: | PASCUCCI, ANDREA; S. Polidoro; A. Carciola |
Autore/i Unibo: | |
Anno: | 2009 |
Rivista: | |
Abstract: | We give a direct proof of the Harnack inequality for a class of Kolmogorov operators associated with a linear SDE and we find the explicit expression of the optimal Harnack constant. We discuss some possible implication of the Harnack inequality in finance: specifically we infer no-arbitrage bounds for the value of self-financing portfolios in terms of the initial wealth. |
Data prodotto definitivo in UGOV: | 2013-05-09 13:48:27 |
Data stato definitivo: | 2017-01-02T18:54:48Z |
Appare nelle tipologie: | 1.01 Articolo in rivista |
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