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

DOI10.1007/S10959-016-0705-5zbMATH Open1391.60149arXiv1506.02577OpenAlexW2963343560MaRDI QIDQ1745261FDOQ1745261

Authors: Shiqiu Zheng, Shoumei Li 

Publication date: 20 April 2018

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

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 $z$.

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

Recommendations

• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• Invariant representation for a stochastic differential operator by BSDEs with uniformly continuous coefficients and its applications
• Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
• Jensen's inequality for dynamically consistent nonlinear evaluations
• Backward stochastic difference equations and nearly time-consistent nonlinear expectations

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)

Cites Work

• Continuous-time stochastic control and optimization with financial applications
• Backward stochastic differential equations with continuous coefficient
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• On quadratic \(g\)-evaluations/expectations and related analysis
• Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
• Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
• Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\)
• Dynamical evaluations
• A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)

Cited In (5)

• Filtration consistent nonlinear expectations and evaluations of contingent claims
• On \(g\)-expectations and filtration-consistent nonlinear expectations
• A representation for filtration-consistent nonlinear expectations and its application
• 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

This page was built for publication: On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1745261)