Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition

Details Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition Reflected BSDE with a Constraint and a New Doob-Meyer Nonlinear Decomposition

2006-11-28

arxiv.org/abs/math/0611869v4

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.

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