BSDEs with mean reflection

Abstract : In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is imposed at any deterministic time t and is typically weaker than the classical pointwise one associated to reflected BSDEs. Focusing on solutions (Y, Z, K) with deterministic K, we obtain the well-posedness of such equation, in the presence of a natural Skorokhod type condition. Such condition indeed ensures the minimality of the enhanced solution, under an additional structural condition on the driver. Our results extend to the more general framework where the constraint is written in terms of a static risk measure on Y. In particular, we provide an application to the super hedging of claims under running risk management constraint.
Type de document :
Pré-publication, Document de travail
2016-56. 2016
Liste complète des métadonnées

Littérature citée [16 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-01318649
Contributeur : Ying Hu <>
Soumis le : jeudi 19 mai 2016 - 17:20:33
Dernière modification le : vendredi 17 novembre 2017 - 18:47:33

Fichiers

BSDEsMeanReflexion6.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-01318649, version 1
  • ARXIV : 1605.06301

Citation

Philippe Briand, Romuald Elie, Ying Hu. BSDEs with mean reflection. 2016-56. 2016. 〈hal-01318649〉

Partager

Métriques

Consultations de la notice

248

Téléchargements de fichiers

147