A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes (Q708289)

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scientific article; zbMATH DE number 5798191
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    A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes
    scientific article; zbMATH DE number 5798191

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      A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes (English)
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      11 October 2010
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      The authors are concerned with the question of a representation theorem for backward stochastic differential equations, which roughly amounts to the question about how to extract the coefficients of an equation having its solution in hand. It is well known how the coefficients of an ordinary stochastic differential equation are related to the infinitesimal generator of its solution. Thus such question is very natural and its answer gives rise to several related results, like converse comparison theorems. The main result of this paper is a representation theorem for a generator of a backward stochastic differential equation whose terminal condition is the solution to an ordinary stochastic differential equation (in other words, for a generator of a backward part of a forward-backward stochastic differential equation). This representation theorem holds under fairly general conditions on the generator and gives a represenation in a certain space of processes (also in an almost sure, though very restricted, sense). This generalizes and extends previous results in this direction of these and other authors. The paper also gives some applications of their result, including a couple in financial mathematics.
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      backward stochastic differential equation
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      forward-backward stochastic differential equation
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      continuous generator
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      representation theorem
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      generalized expectation
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      converse comparison theorem
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      financial mathematics
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