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

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

2005-05-11

arxiv.org/abs/math/0505208v1

Annals of Applied Probability 2005, Vol. 15, No. 2, 1111-1144

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051604000000846 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051604000000846

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.

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