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

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.
Year of publication:
2005-05
Authors: Becherer, Dirk ; Schweizer, Martin
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Published in Annals of Applied Probability 2005, Vol. 15, No. 2, 1111-1144
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Persistent link: https://www.econbiz.de/10005084341
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