Representation theorems for generators of backward stochastic differential equations and their applications
From MaRDI portal
Publication:2575812
DOI10.1016/j.spa.2005.06.008zbMath1078.60043MaRDI QIDQ2575812
Publication date: 7 December 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.06.008
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
Related Items
Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem, Representation theorem and viability property for multidimensional BSDEs and their applications, Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions, \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications, Jensen's inequality for generalized Peng's \(g\)-expectations and its applications, Representation theorems for generators of BSDEs in \(L_p\) spaces, Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation, A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes, Generalized Peng's \(g\)-expectations and related properties, A note on \(g\)-expectation with comonotonic additivity, A limit theorem for solutions to BSDEs in the space of processes, A necessary and sufficient condition for probability measures dominated by \(g\)-expectation, A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications, Representation theorem for generators of quadratic BSDEs, Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type, Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\), Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs, Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration, A new representation for second order stochastic integral-differential operators and its applications, Representation theorems for generators of BSDEs with monotonic and convex growth generators, A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions, Representation and converse comparison theorems for multidimensional BSDEs, Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
Cites Work
- Adapted solution of a backward stochastic differential equation
- Forward-backward stochastic differential equations and their applications
- Jensen's inequality for \(g\)-expectation. I
- Jensen's inequality for \(g\)-expectation. II
- 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 property of backward stochastic differential equations
- Backward Stochastic Differential Equations in Finance