Classical solutions to reaction-diffusion systems for hedging problems with interacting ito and point processes

• 成果类型: Article
• 署名作者: Becherer, D; Schweizer, M
• 署名单位: Imperial College London; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000846
• 发表日期: 2005
• 页码: 1111-1144
• 关键词: Valuation; RISK

摘要

We use probabilistic methods to study classical solutions for systems of interacting semilinear parabolic partial differential equations. In a modeling framework for a financial market with interacting Ito and point processes, such PDEs are shown to provide a natural description for the solution of hedging and valuation problems for contingent claims with a recursive payoff structure.