Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes
Becherer, Dirk ; Schweizer, Martin
Ann. Appl. Probab., Tome 15 (2005) no. 1A, p. 1111-1144 / Harvested from Project Euclid
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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 Itô 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.
Publié le : 2005-05-14
Classification:  Reaction–diffusion systems,  interacting processes,  recursive valuation,  hedging,  risk-minimization,  credit risk,  60H30,  60J25,  91B28,  60G44,  60G55,  91B30 
@article{1115137970,
     author = {Becherer, Dirk and Schweizer, Martin},
     title = {Classical solutions to reaction--diffusion systems for hedging problems with interacting It\^o and point processes},
     journal = {Ann. Appl. Probab.},
     volume = {15},
     number = {1A},
     year = {2005},
     pages = { 1111-1144},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1115137970}
}

Becherer, Dirk; Schweizer, Martin. Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes. Ann. Appl. Probab., Tome 15 (2005) no. 1A, pp.  1111-1144. http://gdmltest.u-ga.fr/item/1115137970/