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.
A. Pascucci, S. Polidoro, A. Carciola (2009). Harnack inequality and no-arbitrage bounds for self-financing portfolios. BOLETIN DE LA SOCIEDAD ESPANOLA DE MATEMATICA APLICADA, 49, 15-27.
Harnack inequality and no-arbitrage bounds for self-financing portfolios
PASCUCCI, ANDREA;
2009
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.File in questo prodotto:
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