Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule (Q5411892)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule |
scientific article; zbMATH DE number 6288382
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule |
scientific article; zbMATH DE number 6288382 |
Statements
Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule (English)
0 references
25 April 2014
0 references
quadratic growth
0 references
conditional \(g\)-expectation
0 references
Doob-Meyer decomposition
0 references
dynamic convex risk measure
0 references
0 references
0 references
0 references
0 references
0.8164587020874023
0 references
0.8158285021781921
0 references
