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

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dc.creatorBecherer, Dirk
dc.creatorSchweizer, Martin
dc.date2005-05-11
dc.date.accessioned2026-07-07T12:11:12Z
dc.date.available2026-07-07T12:11:12Z
dc.descriptionWe 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.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051604000000846 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0505208
dc.identifierhttp://arxiv.org/abs/math/0505208
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 2, 1111-1144
dc.identifierdoi:10.1214/105051604000000846
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210151
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60H30, 60J25, 91B28 (Primary) 60G44, 60G55, 91B30. (Secondary)
dc.titleClassical solutions to reaction-diffusion systems for hedging problems with interacting Ito and point processes
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