Representation theorem for generators of quadratic BSDEs

DOI10.1007/S10255-018-0772-8zbMATH Open1395.60068arXiv1405.4789OpenAlexW2964251056MaRDI QIDQ1782045FDOQ1782045

Authors: Shiqiu Zheng, Shoumei Li 

Publication date: 18 September 2018

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

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.

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

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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)

Cites Work

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• A property of \(g\)-expectation
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Cited In (8)

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

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