Representation theorem for generators of BSDEs driven by G-Brownian motion and its applications
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Publication:2015381
DOI10.1155/2013/342038zbMATH Open1310.60082arXiv1306.1929OpenAlexW1996764856WikidataQ58915982 ScholiaQ58915982MaRDI QIDQ2015381FDOQ2015381
Publication date: 23 June 2014
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Abstract: We obtain a representation theorem for the generators of BSDEs driven by G-Brownian motions, and then we use the representation theorem to get a converse comparison theorem for G-BSDEs and some equivalent results for nonlinear expectations generated by G-BSDEs.
Full work available at URL: https://arxiv.org/abs/1306.1929
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\(G\)-Brownian motionbackward stochastic differential equationsrepresentation theoremconverse comparison theorem
Cites Work
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- Wellposedness of second order backward SDEs
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- Adapted solution of a backward stochastic differential equation
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- Title not available (Why is that?)
- Nonlinear Expectations and Stochastic Calculus under Uncertainty
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- A property of backward stochastic differential equations
- Representation theorems for generators of backward stochastic differential equations
- Converse comparison theorems for backward stochastic differential equations
Cited In (4)
- Representation theorem for generators of quadratic BSDEs
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
- On Monotonicity and Order-Preservation for MultidimensionalG-Diffusion Processes
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