Before revision:  To achieve our goals, we extend in several respects the nonlinear pricing approach developed in El Karoui and Quenez (1997) and El Karoui et al. (1997  ).
After revision:  To achieve our goals, we extend in several respects the nonlinear pricing approach developed in El Karoui and Quenez (1997) and El Karoui et al. (1997 ), which was subsequently continued in Bielecki and Rutkowski (2015 ).