Filtration-Consistent Dynamic Operator with a Floor and Associated Reflected Backward Stochastic Differential Equations

Details Filtration-Consistent Dynamic Operator with a Floor and Associated Reflected Backward Stochastic Differential Equations Filtration-Consistent Dynamic Operator with a Floor and Associated Reflected Backward Stochastic Differential Equations

2006-02-15

arxiv.org/abs/math/0602322v1

Mathematics

Probability

25 pages

Scientific paper

This paper introduces the notion of a filtration-consistent dynamic operator
with a floor, by suitably formulating four axioms. It is shown that under some
suitable conditions, a filtration-consistent dynamic operator with a continuous
upper-bounded floor is necessarily represented by the solution of a backward
stochastic differential equation reflected upwards on the floor.

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