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

DOI10.1080/17442508.2011.652115zbMATH Open1285.91149arXiv0802.2172OpenAlexW2055626756MaRDI QIDQ5411892FDOQ5411892

Authors: Marie-Amélie Morlais 

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Abstract: 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.

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

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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)

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Cited In (6)

• Quadratic reflected BSDEs with unbounded obstacles
• Viscosity solutions of path-dependent integro-differential equations
• Some integral functionals of reflected SDEs and their applications in finance
• Optimal stopping with random maturity under nonlinear expectations
• Risk measures for processes and BSDEs
• Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

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