摘要翻译:
本文通过引入推广的$G$-Snell包络的概念,给出了一类特殊反射倒向随机微分方程解的一个新的刻划,该微分方程的驱动因子$G$是凸的,且第二变量具有二次增长性。然后,在第二步中,我们将这种表示与已在离散时间环境中引入的一类特定的动态货币凹函数联系起来。这种联系意味着以非线性期望为特征的解又具有时间一致性。
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英文标题:
《Reflected backward stochastic differential equations and a class of non
linear dynamic pricing rule》
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作者:
Marie-Amelie Morlais
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最新提交年份:
2008
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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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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英文摘要:
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in its second variable: this is done by introducing the extended notion of $g$-Snell enveloppe. Then, in a second step, we relate this representation to a specific class of dynamic monetary concave functionals already introduced in a discrete time setting. This connection implies that the solution, characterized by means of non linear expectations, has again the time consistency property.
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PDF链接:
https://arxiv.org/pdf/0802.2172