Second order reflected backward stochastic differential equations (Q389069)
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scientific article; zbMATH DE number 6247415
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second order reflected backward stochastic differential equations |
scientific article; zbMATH DE number 6247415 |
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Second order reflected backward stochastic differential equations (English)
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17 January 2014
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second-order reflected backward
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stochstic differential equations
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American options
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0.9347119
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0.93126017
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0.93003166
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0.9266434
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0.9259728
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0.9238263
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0.92245114
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0.9206344
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The second-order reflected backward stochastic differential equation: NEWLINE\[CARRIAGE_RETURNNEWLINEY_t= \xi+ \int^T_t\widehat F(Y_s, Z_s)\,ds- \int^T_t Z_s dB_s+ K_T- K_t,\quad 0\leq t\leq T,\tag{1}CARRIAGE_RETURNNEWLINE\]NEWLINE is considered.NEWLINENEWLINE Under certain assumptions of Lipschitz type, the authors show the representation formula of the solution of (1) and prove the uniqueness of the solution. They also show some properties of the solution and a comparison theorem.NEWLINENEWLINE The results are applied to the pricing of American options.
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