A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions

DOI10.1007/s10114-007-0943-7zbMath1124.60048MaRDI QIDQ2385333

Sheng-Jun Fan

Publication date: 12 October 2007

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-007-0943-7

zbMATH Keywords

generator; \(g\)-expectation; backward stochastic differential equation; converse comparison theorem; \(g\)-evaluation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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