A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications (Q1933292)
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English | A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications |
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A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications (English)
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23 January 2013
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The papers present some results on a class of backward stochastic differential equations (BSDE) under weaker assumptions on the terminal data. The author investigates the comonotonic theorem for BSDEs in \(L^p\) (Theorem 3.1). Then, using the above theorem, he studies some important results for applications as the relation between Choquet expectation and minimax expectation (Theorem 4.3) and the relation between Choquet expectation and the generalized Pang's \(g\)-expectation (Theorem 4.4). Also, a good example is given. The results generalize the well-known results by \textit{Z. Chen} et al. [Ann. Probab. 33, No. 3, 1179--1199 (2005; Zbl 1066.60054); Insur. Math. Econ. 38, No. 3, 518--528 (2006; Zbl 1168.60355); Stochastic Processes Appl. 115, No. 1, 41--54 (2005; Zbl 1070.60050); Stat. Probab. Lett. 80, No. 3--4, 191--195 (2010; Zbl 1181.60084)].
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backward stochastic differential equations
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comonotonic theorem
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Choquet expectation
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minimax expectation
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Peng's \(g\)-expectation
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