A new representation for second order stochastic integral-differential operators and its applications (Q2343564): Difference between revisions
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Revision as of 00:10, 20 March 2024
scientific article
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| English | A new representation for second order stochastic integral-differential operators and its applications |
scientific article |
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A new representation for second order stochastic integral-differential operators and its applications (English)
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6 May 2015
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In the first part of this paper, the authors prove a new representation theorem for a second order stochastic integral-differential operator by the solutions of BSDEs with jumps. Moreover, they establish many equivalent relationships between the properties of solutions of BSDEs and those of the associated generator, for example, translation invariance and convexity.
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stochastic integral-differential operators
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backward stochastic differential equations
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representation theorem
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\(f\)-expectation
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translation invariance
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convexity
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