Representation theorems for generators of BSDEs with monotonic and convex growth generators

DOI10.1016/J.SPL.2014.12.002zbMath1312.60079arXiv1405.7293OpenAlexW2076730644MaRDI QIDQ2343654

Shi-qiu Zheng, Shou-mei Li

Publication date: 6 May 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.7293

zbMATH Keywords

representation theorembackward stochastic differential equationsconverse comparison theoremconvex growthmonotonic generators

Mathematics Subject Classification ID

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

Related Items (7)

BSDEs driven by time-changed Lévy noises with non-Lipschitz generators ⋮ A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications ⋮ Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions ⋮ Backward stochastic differential equations with unbounded generators ⋮ Representation theorem for generators of quadratic BSDEs ⋮ Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration ⋮ Representation theorems of monotonicity generators for BSDEs via L^p (p > 1) solutions in general time intervals

Cites Work

• Adapted solution of a backward stochastic differential equation
• Representation theorem for generators of BSDEs with monotonic and polynomial-growth generators in the space of processes
• A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes
• Limit theorem and uniqueness theorem of backward stochastic differential equations
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• A local limit theorem for solutions of BSDEs with Mao's non-Lipschitz generator
• Backward stochastic differential equations with continuous coefficient
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Representation theorems for generators of backward stochastic differential equations
• 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 Quadraticg-Evaluations/Expectations and Related Analysis

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