2008/02/15 by Morlais, Marie-Amelie
#60H10 #91B28 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR)
paper · doi:10.48550/arxiv.0802.2172
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver g is convex and has quadratic growth in its second variable: this is done by introducing the extended notion of g-Snell enveloppe. Then, in a second step, we relate this representation to a specific class of dynamic monetary concave functionals already introduced in a discrete time setting. This connection implies that the solution, characterized by means of non linear expectations, has again the time consistency property.