Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition
概率论
2008-12-10 v4 计算金融
摘要
In this paper, we study a type of reflected BSDE with a constraint and introduce a new kind of nonlinear expectation via BSDE with a constraint and prove the Doob-Meyer decomposition with respect to the super(sub)martingale introduced by this nonlinear expectation. We then apply the results to the pricing of American options in incomplete market.
引用
@article{arxiv.math/0611869,
title = {Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition},
author = {Shige Peng and Mingyu Xu},
journal= {arXiv preprint arXiv:math/0611869},
year = {2008}
}