Invariant representation for a stochastic differential operator by BSDEs with uniformly continuous coefficients and its applications

DOI10.1016/S0252-9602(13)60092-2MaRDI QIDQ2016827zbMATH OpenOpenAlexFDO

Authors Guangyan Jia, Na Zhang

Publication date 30 June 2014

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.0606

zbMATH Keywords

backward stochastic differential equationsrepresentation theoremsconverse comparison theoremstochastic differential operators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: In this paper, we prove that a kind of second order stochastic differential operator can be represented by the limit of solutions of BSDEs with uniformly continuous coefficients. This result is a generalization of the representation for the uniformly continuous generator. With the help of this representation, we obtain the corresponding converse comparison theorem for the BSDEs with uniformly continuous coefficients, and get some equivalent relationships between the properties of the generator $g$ and the associated solutions of BSDEs. Moreover, we give a new proof about $g$-convexity.

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• A new representation for second order stochastic integral-differential operators and its applications
• Representation theorems of monotonicity generators for BSDEs via \(L^p\) (\(p > 1\)) solutions in general time intervals
• Quadratic \(g\)-convexity, \(C\)-convexity and their relationships
• On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case

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