A general converse comparison theorem for backward stochastic differential equations

DOI10.1016/S0764-4442(01)02062-6zbMATH Open0994.60064OpenAlexW2023959339WikidataQ128118319 ScholiaQ128118319MaRDI QIDQ2756232FDOQ2756232

Authors: Ying Hu, Shige Peng, François Coquet, Jean Mémin 

Publication date: 7 October 2002

Published in: Comptes Rendus de l'Académie des Sciences. Série I. Mathématique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(01)02062-6

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zbMATH Keywords

backward stochastic differential equationscomparison theorem\(g\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

Cited In (23)

• Representation theorems for generators of backward stochastic differential equations and their applications
• Representation theorems for generators of backward stochastic differential equations
• A note on \(g\)-expectation with comonotonic additivity
• A converse comparison theorem for \(g\)-expectations
• Comparison and converse comparison theorems for backward stochastic differential equations with Markov chain noise
• Some results on the uniqueness of generators of backward stochastic differential equations
• A note on \(g\)-concave function
• Two comparison theorems of BSDEs
• Representation theorem for generators of quadratic BSDEs
• On the comparison theorem for multidimensional BSDEs
• A general comparison theorem for backward stochastic differential equations
• A converse comparison theorem for anticipated BSDEs and related non-linear expectations
• A converse comparison theorem for backward stochastic differential equations with jumps
• Risk measures via \(g\)-expectations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Converse comparison theorems for backward stochastic differential equations
• Jensen's inequality for backward stochastic differential equations
• A general converse comparison theorem for backward stochastic differential equation with non-Lipschitz coefficient
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• \(g\)-variance
• A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
• Limit theorem and uniqueness theorem of backward stochastic differential equations
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations

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