Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule

Marie-Amelie Morlais

Papers from arXiv.org

Abstract: 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.

Date: 2008-02, Revised 2008-05
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