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- W2800751605 abstract "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." @default.
- W2800751605 created "2018-05-17" @default.
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- W2800751605 date "2008-02-15" @default.
- W2800751605 modified "2023-09-27" @default.
- W2800751605 title "Efficient hedging and risk minimization" @default.
- W2800751605 hasPublicationYear "2008" @default.
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