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

DOI10.1080/17442508.2011.652115zbMath1285.91149arXiv0802.2172MaRDI 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 decomposition; quadratic growth; conditional \(g\)-expectation; dynamic convex risk measure

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G80: Financial applications of other theories

Related Items

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

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