Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
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Publication:558663
DOI10.1214/105051604000000846zbMATH Open1075.60080arXivmath/0505208OpenAlexW3125580534MaRDI QIDQ558663FDOQ558663
Authors: Dirk Becherer, Martin Schweizer 
Publication date: 13 July 2005
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: 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.
Full work available at URL: https://arxiv.org/abs/math/0505208
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