On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case

DOI10.1007/S10959-016-0705-5MaRDI QIDQ1745261zbMATH OpenOpenAlexFDO

Authors Shiqiu Zheng, Shoumei Li

Publication date 20 April 2018

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.02577

zbMATH Keywords

backward stochastic differential equationnonlinear expectation\(g\)-expectation\(g\)-evaluationnonlinear evaluation

Mathematics Subject Classification ID

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

Abstract: A system of dynamically consistent nonlinear evaluation ($calF$-evaluation) provides an ideal characterization for the dynamical behaviors of risk measures and the pricing of contingent claims. The purpose of this paper is to study the representation for the $calF$-evaluation by the solution of a backward stochastic differential equation (BSDE). Under a general domination condition, we prove that any $calF$-evaluation can be represented by the solution of a BSDE with a generator which is Lipschitz in $y$ and uniformly continuous in $z$.

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Cited in

(5)

• Filtration consistent nonlinear expectations and evaluations of contingent claims
• On \(g\)-expectations and filtration-consistent nonlinear expectations
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• A representation for filtration-consistent nonlinear expectations and its application
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations

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