























In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness result is established with the help of the Skorokhod problem and the method of contraction mapping. We provide the comparison properties for the pointwise value of the solutions and the expectation of the solutions, respectively. In addition, a similar BSDE with risk measure reflection is proposed, which can be applied to the superhedging for contingent claims under risk management constraints.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。