Convexity bounds for BSDE solutions, with applications to indifference valuation

作者：Frei Christoph; Malamud Semyon; Schweizer Martin^*

来源：Probability Theory and Related Fields, 2011, 150(1-2): 219-255.

DOI：10.1007/s00440-010-0273-z

• Quadratic BSDE
• Convexity bounds
• Symmetrisation
• Indifference valuation
• Exponential utility

We consider backward stochastic differential equations (BSDEs) with a particular quadratic generator and study the behaviour of their solutions when the probability measure is changed, the filtration is shrunk, or the underlying probability space is transformed. Our main results are upper bounds for the solutions of the original BSDEs in terms of solutions to other BSDEs which are easier to solve. We illustrate our results by applying them to exponential utility indifference valuation in a multidimensional It process setting.

• 出版日期2011-6