Carciola, Alessandro and Pascucci, Andrea and Polidoro, Sergio (2009): Harnack inequality and noarbitrage bounds for selffinancing portfolios.

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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 noarbitrage bounds for the value of selffinancing portfolios in terms of the initial wealth.
Item Type:  MPRA Paper 

Original Title:  Harnack inequality and noarbitrage bounds for selffinancing portfolios 
English Title:  Harnack inequality and noarbitrage bounds for selffinancing portfolios 
Language:  English 
Keywords:  Harnack inequality; noarbitrage principle; selffinancing portfolio; Kolmogorov equation; linear stochastic equation 
Subjects:  G  Financial Economics > G1  General Financial Markets C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C65  Miscellaneous Mathematical Tools C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods 
Item ID:  15665 
Depositing User:  Andrea Pascucci 
Date Deposited:  12 Jun 2009 03:40 
Last Modified:  02 Oct 2019 16:09 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/15665 