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

doi:10.3150/09-BEJ227

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 应用数学研究所

	Reflected BSDE with a constraint and its applications in an incomplete market
	Peng, Shige 1,3; Xu, Mingyu2,3
刊名	BERNOULLI
	2010-08-01
卷号	16 期号:3 页码:614-640
关键词	American options in an incomplete market backward stochastic differential equation with a constraint reflected backward stochastic differential equation
ISSN号	1350-7265
DOI	10.3150/09-BEJ227
英文摘要	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.
资助项目	National Basic Research Program[2007CB814906] ; National Basic Research Program[2007CB814902] ; AMSS, CAS
WOS研究方向	Mathematics
语种	英语
出版者	INT STATISTICAL INST
WOS记录号	WOS:000282306600002
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/10273]
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.