Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule

DOI10.1080/17442508.2011.652115zbMath1285.91149arXiv0802.2172OpenAlexW2055626756MaRDI QIDQ5411892

Marie-Amélie Morlais

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.2172

zbMATH Keywords

Doob-Meyer decompositionquadratic growthconditional \(g\)-expectationdynamic convex risk measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Related Items

Optimal stopping with random maturity under nonlinear expectations, Quadratic reflected BSDEs with unbounded obstacles, Risk measures for processes and BSDEs, Viscosity solutions of path-dependent integro-differential equations

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