Representation theorem and viability property for multidimensional BSDEs and their applications

DOI10.3934/PUQR.2023017MaRDI QIDQ6064077zbMATH OpenOpenAlexFDO

Authors Xuejun Shi, Long Jiang

Publication date 8 November 2023

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/puqr.2023017

zbMATH Keywords

backward stochastic differential equationcomparison theoremrepresentation theoremviability property

Mathematics Subject Classification ID

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

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Cites work

• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators
• A representation theorem for generators of BSDEs with general growth generators in y and its applications
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Choquet expectation and Peng's \(g\)-expectation
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• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 764363 (Why is no real title available?)
• Jensen's inequality for backward stochastic differential equations
• Measures, Integrals and Martingales
• Multidimensional dynamic risk measure via conditional g-expectation
• On the comparison theorem for multidimensional BSDEs
• Representation theorems for generators of backward stochastic differential equations and their applications
• Representation theorems for generators of BSDEs in \(L_p\) spaces
• Representation theorems of monotonicity generators for BSDEs via \(L^p\) (\(p > 1\)) solutions in general time intervals
• Stochastic viability of convex sets
• Viability for stochastic differential equations driven by \(G\)-Brownian motion
• Viability of moving sets for stochastic differential equation.
• Viability theory

Cited in

(4)

• Representation and converse comparison theorems for multidimensional BSDEs
• Backward stochastic viability and related properties on \(Z\) for BSDEs with applications
• An existence theorem for multidimensional BSDEs with mixed reflections
• Monotonicity and convergence for g-expectation of distributions

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