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 p...

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Bibliographic Details
Main Authors Peng, Shige, Xu, Mingyu
Format Journal Article
LanguageEnglish
Published 28.11.2006
Subjects
Mathematics - Probability
Quantitative Finance - Computational Finance
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Summary: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.
DOI:10.48550/arxiv.math/0611869