Representation theorems for generators of backward stochastic differential equations and their applications
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Publication:2575812
DOI10.1016/j.spa.2005.06.008zbMath1078.60043OpenAlexW2051720297MaRDI QIDQ2575812
Publication date: 7 December 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.06.008
Related Items (23)
Generalized Peng's \(g\)-expectations and related properties ⋮ \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications ⋮ A note on \(g\)-expectation with comonotonic additivity ⋮ A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions ⋮ Jensen's inequality for generalized Peng's \(g\)-expectations and its applications ⋮ Representation and converse comparison theorems for multidimensional BSDEs ⋮ Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation ⋮ Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs ⋮ A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications ⋮ Representation theorem and viability property for multidimensional BSDEs and their applications ⋮ Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions ⋮ Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\) ⋮ A limit theorem for solutions to BSDEs in the space of processes ⋮ Representation theorems for generators of BSDEs in \(L_p\) spaces ⋮ Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures ⋮ A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes ⋮ Representation theorem for generators of quadratic BSDEs ⋮ A necessary and sufficient condition for probability measures dominated by \(g\)-expectation ⋮ Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type ⋮ Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration ⋮ A new representation for second order stochastic integral-differential operators and its applications ⋮ Representation theorems for generators of BSDEs with monotonic and convex growth generators ⋮ Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem
Cites Work
- Adapted solution of a backward stochastic differential equation
- Forward-backward stochastic differential equations and their applications
- Jensen's inequality for \(g\)-expectation. I
- Jensen's inequality for \(g\)-expectation. II
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- Some results on the uniqueness of generators of backward stochastic differential equations
- A general converse comparison theorem for backward stochastic differential equations
- A property of backward stochastic differential equations
- Backward Stochastic Differential Equations in Finance
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