Reflected BSDE with a constraint and its applications in an incomplete market
文献类型：期刊论文
| 作者 | Peng, Shige1,3; Xu, Mingyu2,3
|
| 刊名 | BERNOULLI
 |
| 出版日期 | 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 |
| WOS记录号 | WOS:000282306600002 |
| 出版者 | INT STATISTICAL INST |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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