{
  "id": "math/0505208",
  "version": "v1",
  "published": "2005-05-11T10:46:51.000Z",
  "updated": "2005-05-11T10:46:51.000Z",
  "title": "Classical solutions to reaction-diffusion systems for hedging problems with interacting Ito and point processes",
  "authors": [
    "Dirk Becherer",
    "Martin Schweizer"
  ],
  "comment": "Published 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)",
  "journal": "Annals of Applied Probability 2005, Vol. 15, No. 2, 1111-1144",
  "doi": "10.1214/105051604000000846",
  "categories": [
    "math.PR",
    "q-fin.CP"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2005-05-11T10:46:51.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H30",
      "60J25",
      "91B28",
      "60G44",
      "60G55",
      "91B30"
    ],
    "keywords": [
      "point processes",
      "classical solutions",
      "interacting ito",
      "reaction-diffusion systems",
      "hedging problems"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2005math......5208B"
    }
  }
}