Reflected BSDE with a constraint and its applications in an incomplete market
Peng, Shige ; Xu, Mingyu
Bernoulli, Tome 16 (2010) no. 1, p. 614-640 / Harvested from Project Euclid
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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.
Publié le : 2010-08-15
Classification:  American options in an incomplete market,  backward stochastic differential equation with a constraint,  reflected backward stochastic differential equation 
@article{1281099878,
     author = {Peng, Shige and Xu, Mingyu},
     title = {Reflected BSDE with a constraint and its applications in an incomplete market},
     journal = {Bernoulli},
     volume = {16},
     number = {1},
     year = {2010},
     pages = { 614-640},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1281099878}
}

Peng, Shige; Xu, Mingyu. Reflected BSDE with a constraint and its applications in an incomplete market. Bernoulli, Tome 16 (2010) no. 1, pp.  614-640. http://gdmltest.u-ga.fr/item/1281099878/