Backward stochastic differential equations with a uniformly continuous generator and related g-expectation
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Publication:607277
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- scientific article; zbMATH DE number 1066320
Cites work
- scientific article; zbMATH DE number 1341816 (Why is no real title available?)
- scientific article; zbMATH DE number 1066320 (Why is no real title available?)
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
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- Ambiguity, Risk, and Asset Returns in Continuous Time
- BSDE with quadratic growth and unbounded terminal value
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward stochastic differential equations with continuous coefficient
- Backward stochastic differential equations: The locally Lipschitz case
- Filtration-consistent nonlinear expectations and related g-expectations
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- Jensen's inequality for \(g\)-expectation. I
- On Jensen's inequality for \(g\)-expectation
- On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Representation theorems for generators of backward stochastic differential equations and their applications
- Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
- Risk measures via \(g\)-expectations
Cited in
(26)- Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
- BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
- Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
- Semimartingale backward equations with convex generator
- Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions
- Existence, uniqueness and stability of L^1 solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type
- BSDEs with monotone generator driven by time-changed Lévy noises
- On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
- Invariant representation for a stochastic differential operator by BSDEs with uniformly continuous coefficients and its applications
- On the stability theorem of \(L^{p}\) solutions for multidimensional BSDEs with uniform continuity generators in \(z\)
- Representation theorems of monotonicity generators for BSDEs via \(L^p\) (\(p > 1\)) solutions in general time intervals
- \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
- Existence of solutions to one-dimensional BSDEs with semi-linear growth and general growth generators
- Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- On \(g\)-expectations and filtration-consistent nonlinear expectations
- \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
- On the backward stochastic differential equation with generator \(f(y)|z|^2\)
- \(L^p\) solution of reflected BSDEs with one continuous barrier and quasi-linear growth generators
- \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators
- Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
- A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications
- A general converse comparison theorem for backward stochastic differential equation with non-Lipschitz coefficient
- A representation for filtration-consistent nonlinear expectations and its application
- Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
- L p -solutions of backward doubly stochastic differential equations with time delayed generators
- \(L^p\) solutions to multidimensional backward stochastic differential equations with uniformly continuous generators
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