Pertubative method for quadratic reflected backward stochastic differential equations
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Thu, 08/03/2012 13:00 |
Arnaud Lionnet |
Mathematical Finance Internal Seminar  |
DH 1st floor SR |
| In this talk, I will present reflected backward stochastic differential equations (reflected BSDEs) and their connection with the pricing of American options. Then I will present a simple perturbative method for studying them. Under the appropriate assumptions on the coefficient, the terminal condition and the lower obstacle, similar to those used by Kobylankski, this method allows to prove the existence of a solution. I will also provide the usual comparison theorem and a new proof for a refined comparison theorem, specific to RBSDEs. | |||