Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition

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dc.creatorPeng, Shige
dc.creatorXu, Mingyu
dc.date2006-11-28
dc.date2008-07-16
dc.date.accessioned2026-07-07T12:11:19Z
dc.date.available2026-07-07T12:11:19Z
dc.descriptionIn this paper, we study a type of reflected BSDE with a constraint and introduce a new kind of nonlinear expectation via BSDE with a constraint and prove the Doob-Meyer decomposition with respect to the super(sub)martingale introduced by this nonlinear expectation. We then apply the results to the pricing of American options in incomplete market.
dc.identifierhttps://arxiv.org/abs/math/0611869
dc.identifierhttp://arxiv.org/abs/math/0611869
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210187
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60H10
dc.titleReflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition
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