A comonotonic theorem for backward stochastic differential equations in L^p and its applications

DOI10.1007/S11253-012-0684-3MaRDI QIDQ1933292zbMATH OpenOpenAlexFDO

Authors Zhaojun Zong

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

zbMATH Keywords

backward stochastic differential equationsChoquet expectationcomonotonic theoremminimax expectationPeng's \(g\)-expectation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

The papers present some results on a class of backward stochastic differential equations (BSDE) under weaker assumptions on the terminal data. The author investigates the comonotonic theorem for BSDEs in \(L^p\) (Theorem 3.1). Then, using the above theorem, he studies some important results for applications as the relation between Choquet expectation and minimax expectation (Theorem 4.3) and the relation between Choquet expectation and the generalized Pang's \(g\)-expectation (Theorem 4.4). Also, a good example is given. The results generalize the well-known results by \textit{Z. Chen} et al. [Ann. Probab. 33, No. 3, 1179--1199 (2005; Zbl 1066.60054); Insur. Math. Econ. 38, No. 3, 518--528 (2006; Zbl 1168.60355); Stochastic Processes Appl. 115, No. 1, 41--54 (2005; Zbl 1070.60050); Stat. Probab. Lett. 80, No. 3--4, 191--195 (2010; Zbl 1181.60084)].

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Cites work

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Cited in

(5)

• Extinction and persistence of a stochastic SIRS epidemic model with saturated incidence rate and transfer from infectious to susceptible
• Non-smooth analysis method in optimal investment-BSDE approach
• Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations
• A comonotonic theorem for BSDEs
• scientific article; zbMATH DE number 1867088 (Why is no real title available?)

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