Reflected BSDE with a constraint and its applications in an incomplete market

doi:10.3150/09-BEJ227

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	Reflected BSDE with a constraint and its applications in an incomplete market
	Peng, Shige 1,3; Xu, Mingyu2,3
	2010-08-01
发表期刊	BERNOULLI
ISSN	1350-7265
卷号	16 期号:3 页码:614-640
摘要	In this paper, we study a type of reflected BSDE with a constraint and prove the existence of the smallest g-supersolution for this equation. We then demonstrate its applications in the pricing of American options in an incomplete market.
关键词	American options in an incomplete market backward stochastic differential equation with a constraint reflected backward stochastic differential equation
DOI	10.3150/09-BEJ227
语种	英语
资助项目	National Basic Research Program[2007CB814906] ; National Basic Research Program[2007CB814902] ; AMSS, CAS
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000282306600002
出版者	INT STATISTICAL INST
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10274
专题	应用数学研究所
通讯作者	Peng, Shige
作者单位	1.Shandong Univ, Sch Math & Syst Sci, Jinan 250100, Peoples R China 2.CAS, Acad Math & Syst Sci, Inst Appl Math, Key Lab Random Complex Struct & Data Sci, Beijing 100190, Peoples R China 3.Fudan Univ, Dept Financial Math & Control Sci, Sch Math Sci, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Peng, Shige,Xu, Mingyu. Reflected BSDE with a constraint and its applications in an incomplete market[J]. BERNOULLI,2010,16(3):614-640.
APA	Peng, Shige,&Xu, Mingyu.(2010).Reflected BSDE with a constraint and its applications in an incomplete market.BERNOULLI,16(3),614-640.
MLA	Peng, Shige,et al."Reflected BSDE with a constraint and its applications in an incomplete market".BERNOULLI 16.3(2010):614-640.