On the integral representation of g-expectations with terminal constraints

DOI10.1016/J.JMAA.2017.02.058MaRDI QIDQ2400639zbMATH OpenOpenAlexFDO

Authors Xiaojuan Li

Publication date 29 August 2017

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

Full work available at URL https://arxiv.org/abs/1502.03875

zbMATH Keywords

backward stochastic differential equations\(g\)-expectationsChoquet expectationsconditional \(g\)-expectations

Mathematics Subject Classification ID

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

Abstract: In this paper, we study the integral representation of g-expectations with two kinds of terminal constraints, and obtain the corresponding necessary and sufficient conditions.

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Cited in

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• On the integral representation of \(g\)-expectations

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