A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
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Publication:1933292
DOI10.1007/s11253-012-0684-3zbMath1272.60040OpenAlexW2015575653MaRDI QIDQ1933292
Publication date: 23 January 2013
Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11253-012-0684-3
backward stochastic differential equationsChoquet expectationcomonotonic theoremminimax expectationPeng's \(g\)-expectation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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