On quadratic g-evaluations/expectations and related analysis

DOI10.1080/07362994.2010.482827zbMATH Open1206.60057arXiv0905.3941OpenAlexW2051641896MaRDI QIDQ3580108FDOQ3580108

Authors: Jin Ma, Song Yao 

Publication date: 11 August 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Abstract: In this paper we extend the notion of g-evaluation, in particular g-expectation, to the case where the generator g is allowed to have a quadratic growth. We show that some important properties of the g-expectations, including a representation theorem between the generator and the corresponding g-expectation, and consequently the reverse comparison theorem of quadratic BSDEs as well as the Jensen inequality, remain true in the quadratic case. Our main results also include a Doob-Meyer type decomposition, the optional sampling theorem, and the up-crossing inequality. The results of this paper are important in the further development of the general quadratic nonlinear expectations.

Full work available at URL: https://arxiv.org/abs/0905.3941

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• scientific article
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zbMATH Keywords

generatorbackward stochastic differential equationcomparison theoremupcrossing inequalityg-expectationoptional sampling theoremDoob-Meyer type decompositiong-evaluation

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Utility maximization in incomplete markets
• Continuous exponential martingales and BMO
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations

Cited In (24)

• Quadratic BSDEs with jumps: related nonlinear expectations
• Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
• Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions
• On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
• Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
• Quadratic reflected BSDEs with unbounded obstacles
• The perturbation method applied to a robust optimization problem with constraint
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• Optimal stopping for non-linear expectations. I
• Comparison theorem for diagonally quadratic BSDEs
• Second order backward stochastic differential equations with quadratic growth
• A new existence result for second-order BSDEs with quadratic growth and their applications
• A note on \(g\)-concave function
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• Representation theorem for generators of quadratic BSDEs
• Set-valued backward stochastic differential equations
• On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
• On \(g\)-expectations and filtration-consistent nonlinear expectations
• Quadratic \(g\)-convexity, \(C\)-convexity and their relationships
• Equilibrium Pricing Under Relative Performance Concerns
• A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general \(g\)-supermartingales
• Representation theorems for generators of BSDEs with monotonic and convex growth generators

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