Harnack inequality and no-arbitrage bounds for self-financing portfolios
AbstractWe 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15665.
Date of creation: 10 Jun 2009
Date of revision:
Harnack inequality; no-arbitrage principle; self-financing portfolio; Kolmogorov equation; linear stochastic equation;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-17 (All new papers)
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