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- W3150969359 abstract "We give a direct proof of the Harnack inequality for a class of Kolmogorov operators associated with a linear SDE and we find the explicit expression of the optimal Harnack constant. We discuss some possible implication of the Harnack inequality in finance: specifically we infer no-arbitrage bounds for the value of self-financing portfolios in terms of the initial wealth." @default.
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- W3150969359 date "2009-01-01" @default.
- W3150969359 modified "2023-09-24" @default.
- W3150969359 title "Harnack inequality and no-arbitrage bounds for self-financing portfolios" @default.
- W3150969359 hasPublicationYear "2009" @default.
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