Harnack inequality and no-arbitrage bounds for self-financing portfolios
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.
|Date of creation:||10 Jun 2009|
|Date of revision:|
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