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

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

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 $z$.

Review text

The aim of this paper is to study the representation for the \({\mathcal F}\)-evaluation by the solution of a backward stochastic differential equation. The results of this paper can be seen as a generalization of \textit{F. Coquet} et al. [Probab. Theory Relat. Fields 123, No. 1, 1--27 (2002; Zbl 1007.60057)], \textit{S. Peng} [C. R., Math., Acad. Sci. Paris 339, No. 8, 585--589 (2004; Zbl 1065.60087)], [\textit{S.-G. Peng}, ``Dynamically consistent nonlinear Evaluations and Expectations, Preprint, \url{arXiv:math/0501415}] and [\textit{S. Zheng} and \textit{S. Li}, ``Representation for filtration-consistent nonlinear expectations under a general domination condition, Preprint, \url{arXiv:1502.01620}].

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Cites work

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Cited in

(5)

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

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