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.

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Year of publication:	2009-06-10
Authors:	Carciola, Alessandro ; Pascucci, Andrea ; Polidoro, Sergio
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Harnack inequality \| no-arbitrage principle \| self-financing portfolio \| Kolmogorov equation \| linear stochastic equation

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G1 - General Financial Markets ; C65 - Miscellaneous Mathematical Tools ; C02 - Mathematical Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004980395