A backward stochastic differential equation based on infinite horizon and its application

MaRDI QIDQ5320106zbMATH OpenFDO

Authors Xiangyun Lin, Rui Zhang, Xiangrong Wang

Publication date 22 July 2009

zbMATH Keywords

backward stochastic differential equationg-expectationuncertainty aversion

Mathematics Subject Classification ID

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

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Cited in

(3)

• Infinite horizon BSDEs under consistent nonlinear expectations
• \(L^{p}\) solutions of infinite time interval BSDEs and the corresponding \(g\)-expectations and \(g\)-martingales
• A study on a new class of backward stochastic differential equation

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