A new representation for second order stochastic integral-differential operators and its applications

DOI10.1007/S10255-015-0450-ZzbMath1315.60069OpenAlexW1971119184MaRDI QIDQ2343564

Guangyan Jia, Na Zhang

Publication date: 6 May 2015

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-015-0450-z

zbMATH Keywords

representation theoremconvexitybackward stochastic differential equationstranslation invariance\(f\)-expectationstochastic integral-differential operators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (1)

Jensen's inequality under nonlinear expectation generated by BSDE with jumps

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with jumps and related nonlinear expectations
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Theory of stochastic differential equations with jumps and applications.
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Representation theorems for generators of backward stochastic differential equations and their applications
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• Backward Stochastic Differential Equations in Finance

This page was built for publication: A new representation for second order stochastic integral-differential operators and its applications