Converse comparison theorems for backward stochastic differential equations

DOI10.1016/j.spl.2004.10.032zbMath1079.60054OpenAlexW2083549252MaRDI QIDQ2483852

Long Jiang

Publication date: 1 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.032

zbMATH Keywords

generator

Mathematics Subject Classification ID

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

Related Items (7)

A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions ⋮ Representation and converse comparison theorems for multidimensional BSDEs ⋮ A converse comparison theorem for backward stochastic differential equations with jumps ⋮ A limit theorem for solutions to BSDEs in the space of processes ⋮ Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations ⋮ A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes ⋮ Representation theorem for generators of BSDEs driven by \(G\)-Brownian motion and its applications

Cites Work

• Adapted solution of a backward stochastic differential equation
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Some results on the uniqueness of generators of backward stochastic differential equations
• A general converse comparison theorem for backward stochastic differential equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A property of backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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