Mathematics – Probability
Scientific paper
2006-11-28
Mathematics
Probability
Scientific paper
In this paper, we study a type of reflected BSDE with a constraint and
introduce a new kind of nonlinear expectation via BSDE with a constraint and
prove the Doob-Meyer decomposition with respect to the super(sub)martingale
introduced by this nonlinear expectation. We then apply the results to the
pricing of American options in incomplete market.
Peng Shige
Xu Mingyu
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