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 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.
Citation
Dirk Becherer. Martin Schweizer. "Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes." Ann. Appl. Probab. 15 (2) 1111 - 1144, May 2005. https://doi.org/10.1214/105051604000000846
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