Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition

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.

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Year of publication:	2006-11
Authors:	Peng, Shige ; Xu, Mingyu
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005083497