A relationship between the conditional g-evaluation system and the generator g and its applica\-tions

DOI10.1007/S10114-007-0943-7MaRDI QIDQ2385333zbMATH OpenOpenAlexFDO

Authors Shengjun Fan

Publication date 12 October 2007

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-007-0943-7

zbMATH Keywords

generatorbackward stochastic differential equation\(g\)-expectationconverse comparison theorem\(g\)-evaluation

Mathematics Subject Classification ID

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

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Cites work

• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A property of backward stochastic differential equations
• A representation theorem for generators of backward stochastic differential equations and its application
• Adapted solution of a backward stochastic differential equation
• Converse comparison theorems for backward stochastic differential equations
• Jensen's inequality for \(g\)-expectation. I
• On Jensen's inequality for \(g\)-expectation
• Representation theorems for generators of backward stochastic differential equations
• Representation theorems for generators of backward stochastic differential equations and their applications
• Some results on the uniqueness of generators of backward stochastic differential equations
• The converse comparison theorems for generators of backward stochastic differential equations

Cited in

(4)

• A note on Jensen's inequality for BSDEs
• Dynamics and control of variable geometry truss manipulator
• A limit theorem for solutions to BSDEs in the space of processes
• A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes

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