英文标题：
《BSDEs with mean reflection》
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作者：
Philippe Briand (LAMA), Romuald Elie (LAMA), Ying Hu (IRMAR)
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最新提交年份：
2016
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英文摘要：
In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is imposed at any deterministic time t and is typically weaker than the classical pointwise one associated to reflected BSDEs. Focusing on solutions (Y, Z, K) with deterministic K, we obtain the well-posedness of such equation, in the presence of a natural Skorokhod type condition. Such condition indeed ensures the minimality of the enhanced solution, under an additional structural condition on the driver. Our results extend to the more general framework where the constraint is written in terms of a static risk measure on Y. In particular, we provide an application to the super hedging of claims under running risk management constraint.
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中文摘要：
在本文中，我们研究了一种新型的BSDE，其中要求解的Y分量的分布满足一个附加约束，该约束是根据损失函数的期望编写的。该约束在任何确定性时间t施加，并且通常比与反射BSDE相关的经典逐点约束弱。重点讨论了具有确定性K的解（Y，Z，K），在自然Skorokhod型条件下，我们得到了这类方程的适定性。在驾驶员的附加结构条件下，这种条件确实确保了增强型解决方案的最小化。我们的结果扩展到更一般的框架，其中约束是根据Y上的静态风险度量编写的。特别是，我们提供了一个应用程序，用于运行风险管理约束下的索赔超级套期保值。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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