Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule (Q5411892)
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scientific article; zbMATH DE number 6288382
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule |
scientific article; zbMATH DE number 6288382 |
Statements
Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule (English)
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25 April 2014
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quadratic growth
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conditional \(g\)-expectation
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Doob-Meyer decomposition
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dynamic convex risk measure
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