Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule
Abstract
Description
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in its second variable: this is done by introducing the extended notion of $g$-Snell enveloppe. Then, in a second step, we relate this representation to a specific class of dynamic monetary concave functionals already introduced in a discrete time setting. This connection implies that the solution, characterized by means of non linear expectations, has again the time consistency property.
20 pages, partial modification of the content
20 pages, partial modification of the content