Filtration-Consistent Dynamic Operator with a Floor and Associated Reflected Backward Stochastic Differential Equations
Probability
2007-05-23 v1
Abstract
This paper introduces the notion of a filtration-consistent dynamic operator with a floor, by suitably formulating four axioms. It is shown that under some suitable conditions, a filtration-consistent dynamic operator with a continuous upper-bounded floor is necessarily represented by the solution of a backward stochastic differential equation reflected upwards on the floor.
Cite
@article{arxiv.math/0602322,
title = {Filtration-Consistent Dynamic Operator with a Floor and Associated Reflected Backward Stochastic Differential Equations},
author = {Xiaobo Bao and Shanjian Tang},
journal= {arXiv preprint arXiv:math/0602322},
year = {2007}
}
Comments
25 pages