Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration

DOI10.1016/j.jmaa.2020.124010zbMath1440.60050arXiv1912.04587OpenAlexW3010524939MaRDI QIDQ2308363

Panyu Wu, Guo-Dong Zhang

Publication date: 3 April 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.04587

zbMATH Keywords

representation theoremfiltrationbackward stochastic differential equations\(g\)-expectationconverse comparison theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Jensen's inequality for \(g\)-expectations in general filtration spaces

Cites Work

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