Representation theorem for generators of quadratic BSDEs

DOI10.1007/S10255-018-0772-8MaRDI QIDQ1782045zbMATH OpenOpenAlexFDO

Authors Shiqiu Zheng, Shoumei Li

Publication date 18 September 2018

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.4789

zbMATH Keywords

backward stochastic differential equation\(g\)-expectationconverse comparison theoremrepresentation theorem of generator

Mathematics Subject Classification ID

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

Abstract: In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in $z$. As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic $g$-expectation.

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• Representation theorems for generators of backward stochastic differential equations and their applications
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Cited in

(8)

• On quadratic \(g\)-evaluations/expectations and related analysis
• Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions
• A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications
• Representation theorem for generators of BSDEs driven by \(G\)-Brownian motion and its applications
• Representation theorems for generators of BSDEs with monotonic and convex growth generators
• Representation theorems for generators of reflected BSDEs with continuous and linear growth generators
• Representation theorems for generators of backward stochastic differential equations and their applications
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration

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