On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case (Q1745261)

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On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
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    On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case (English)
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    20 April 2018
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    The aim of this paper is to study the representation for the \({\mathcal F}\)-evaluation by the solution of a backward stochastic differential equation. The results of this paper can be seen as a generalization of \textit{F. Coquet} et al. [Probab. Theory Relat. Fields 123, No. 1, 1--27 (2002; Zbl 1007.60057)], \textit{S. Peng} [C. R., Math., Acad. Sci. Paris 339, No. 8, 585--589 (2004; Zbl 1065.60087)], [\textit{S.-G. Peng}, ``Dynamically consistent nonlinear Evaluations and Expectations'', Preprint, \url{arXiv:math/0501415}] and [\textit{S. Zheng} and \textit{S. Li}, ``Representation for filtration-consistent nonlinear expectations under a general domination condition'', Preprint, \url{arXiv:1502.01620}].
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    backward stochastic differential equation
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    \(g\)-expectation
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    \(g\)-evaluation
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    nonlinear expectation
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    nonlinear evaluation
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