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

Xiaobo Bao; Shanjian Tang

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

Xiaobo Bao·Shanjian Tang

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Abstract

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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BibTeX RIS

Xiaobo Bao, Shanjian Tang. 2006-02-15. Filtration-Consistent Dynamic Operator with a Floor and Associated Reflected Backward Stochastic Differential Equations. https://arxiv.org/abs/math/0602322

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