Propagation of Convexity by Markovian and Martingalian Semigroups |
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Authors: | Martini Claude |
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Affiliation: | (1) I.N.R.I, A. Sophia-Antipolis, 2004 Route des Lucioles, Valbonne, France. E-mail |
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Abstract: | We study the propagation of convexity by positive Markovian semigroups Qt on R*+ which are also Martingalian (i.e. Qt Id = Id). This question is related to the management of the volatility risk in theoretical finance. We exhibit a new duality between Markovian semigroups which is an instance of T. Liggett's h-duality. In the continuous case we give a characterization theorem of the infinitesimal generators of such semigroups, and even a Lévy–Kintchine type decomposition. We give some applications to the s.d.e. dSit = ( StdBt with B standard brownian motion. |
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Keywords: | Analysis on the half-line Markovian semigroups propagation of convexity Liggett's h-duality. |
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