A general converse comparison theorem for backward stochastic differential equations

DOI10.1016/S0764-4442(01)02062-6zbMath0994.60064OpenAlexW2023959339WikidataQ128118319 ScholiaQ128118319MaRDI QIDQ2756232

Shige Peng, Ying Hu, François Coquet, Jean Mémin

Publication date: 7 October 2002

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

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

zbMATH Keywords

comparison theorembackward stochastic differential equations\(g\)-expectation

Mathematics Subject Classification ID

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

Related Items (18)

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

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