A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
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Publication:1933292
DOI10.1007/s11253-012-0684-3zbMath1272.60040MaRDI QIDQ1933292
Publication date: 23 January 2013
Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11253-012-0684-3
backward stochastic differential equations; Choquet expectation; comonotonic theorem; minimax expectation; Peng's \(g\)-expectation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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