Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule
| dc.creator | Morlais, Marie-Amelie | |
| dc.date | 2008-02-15 | |
| dc.date | 2008-05-13 | |
| dc.date.accessioned | 2026-07-07T12:05:40Z | |
| dc.date.available | 2026-07-07T12:05:40Z | |
| dc.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. | |
| dc.description | 20 pages, partial modification of the content | |
| dc.identifier | https://arxiv.org/abs/0802.2172 | |
| dc.identifier | http://arxiv.org/abs/0802.2172 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208438 | |
| dc.subject | Pricing of Securities | |
| dc.subject | Probability | |
| dc.subject | 60H10,91B28 | |
| dc.title | Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule | |
| dc.type | text |