A converse comparison theorem for BSDEs and related properties of g-expectation

DOI10.1214/ECP.V5-1025zbMATH Open0966.60054MaRDI QIDQ1583630FDOQ1583630

Authors: Philippe Briand, François Coquet, Ying Hu, Jean Mémin, Shige Peng 

Publication date: 14 December 2000

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/121154

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zbMATH Keywords

backward stochastic differential equationscomparison theorem\(g\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (95)

• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• Jensen's inequality for \(g\)-expectations in general filtration spaces
• Representation theorems for generators of backward stochastic differential equations and their applications
• BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
• Jensen's inequality for filtration consistent nonlinear expectation without domination condition
• Representation theorems for generators of backward stochastic differential equations
• Egoroff's theorem and Lusin's theorem for capacities in the framework of \(g\)-expectation
• Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
• Representation of the penalty term of dynamic concave utilities
• On the existence of solutions to BSDEs with generalized uniformly continuous generators
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation
• On the integral representation of \(g\)-expectations
• A note on \(g\)-expectation with comonotonic additivity
• A converse comparison theorem for \(g\)-expectations
• A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes
• Backward stochastic difference equations with finite states
• A limit theorem for solutions to BSDEs in the space of processes
• Backward stochastic difference equations for a single jump process
• On Jensen's inequality and Hölder's inequality for \(g\)-expectation
• Representation theorems of monotonicity generators for BSDEs via \(L^p\) (\(p > 1\)) solutions in general time intervals
• Some properties of \(g\)-convex functions
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
• Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
• Optimal stopping for non-linear expectations. II
• Choquet expectation and Peng's \(g\)-expectation
• A necessary and sufficient condition for probability measures dominated by \(g\)-expectation
• Some results on the uniqueness of generators of backward stochastic differential equations
• Acceptability indexes via \(g\)-expectations: an application to liquidity risk
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Representation and converse comparison theorems for multidimensional BSDEs
• A note on Jensen's inequality for BSDEs
• A property of \(g\)-expectation
• Two comparison theorems of BSDEs
• On the integral representation of \(g\)-expectations with terminal constraints
• \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications
• On the comparison theorem for multidimensional BSDEs
• A converse comparison theorem for anticipated BSDEs and related non-linear expectations
• A converse comparison theorem for backward stochastic differential equations with jumps
• \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions
• Risk measures via \(g\)-expectations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Converse comparison theorems for backward stochastic differential equations
• A general theory of finite state backward stochastic difference equations
• Robust mean-variance hedging via \(G\)-expectation
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Generalized Peng's \(g\)-expectations and related properties
• Jensen's inequality for backward stochastic differential equations
• A general converse comparison theorem for backward stochastic differential equations
• Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient
• Representation theorem and viability property for multidimensional BSDEs and their applications
• Utility maximization in a jump market model
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• Title not available (Why is that?)
• A central limit theorem for sets of probability measures
• Jensen's inequality for generalized Peng's \(g\)-expectations and its applications
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• Representation theorems for generators of BSDEs in \(L_p\) spaces
• A result on the probability measures dominated by \(g\)-expectation
• A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
• A local limit theorem for solutions of BSDEs with Mao's non-Lipschitz generator
• Limit theorem and uniqueness theorem of backward stochastic differential equations
• Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
• Dynkin game under \(g\)-expectation in continuous time
• Concentration of dynamic risk measures in a Brownian filtration
• Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions
• Stochastic ordering by \(g\)-expectations
• A strong law of large number for negatively dependent and non identical distributed random variables in the framework of sublinear expectation
• On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
• Representation theorem for generators of quadratic BSDEs
• Representation theorem for generators of BSDEs driven by \(G\)-Brownian motion and its applications
• On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
• On \(g\)-expectations and filtration-consistent nonlinear expectations
• Quadratic \(g\)-convexity, \(C\)-convexity and their relationships
• A general converse comparison theorem for backward stochastic differential equation with non-Lipschitz coefficient
• A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• \(g\)-variance
• Dynamic conic finance via backward stochastic difference equations
• Jensen's inequality under nonlinear expectation generated by BSDE with jumps
• A new representation for second order stochastic integral-differential operators and its applications
• Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
• A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations
• Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs
• Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management
• Representation theorems for generators of BSDEs with monotonic and convex growth generators
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
• On forward-backward stochastic differential equations in a domination-monotonicity framework
• Non-smooth analysis method in optimal investment-BSDE approach

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