A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes
DOI10.1016/J.CAM.2010.06.022zbMATH Open1203.65017OpenAlexW1971709781MaRDI QIDQ708289FDOQ708289
Authors: Long Jiang, Shengjun Fan 
Publication date: 11 October 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.06.022
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backward stochastic differential equationfinancial mathematicsforward-backward stochastic differential equationrepresentation theoremconverse comparison theoremcontinuous generatorgeneralized expectation
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)
Cites Work
- \(L^p\) solutions of backward stochastic differential equations.
- Backward Stochastic Differential Equations in Finance
- Adapted solution of a backward stochastic differential equation
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Backward stochastic differential equations with continuous coefficient
- Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
- Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
- Jensen's inequality for \(g\)-expectation. I
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- Representation theorems for generators of backward stochastic differential equations and their applications
- Representation theorems for generators of backward stochastic differential equations
- Limit theorem and uniqueness theorem of backward stochastic differential equations
- On Jensen's inequality for \(g\)-expectation
- Some results on the uniqueness of generators of backward stochastic differential equations
- Converse comparison theorems for backward stochastic differential equations
- A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions
- A limit theorem for solutions to BSDEs in the space of processes
Cited In (21)
- Representation theorems for generators of backward stochastic differential equations and their applications
- 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
- A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators
- Invariant representation for a stochastic differential operator by BSDEs with uniformly continuous coefficients and its applications
- A representation theorem and a converse comparison theorem of RBSDEs with continuous coefficients
- A representation theorem for generators of BSDEs driven by a Lévy process
- Representation theorems of monotonicity generators for BSDEs via \(L^p\) (\(p > 1\)) solutions in general time intervals
- Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
- A representation theorem for generators of backward stochastic differential equations and its application
- Representation theorem for generators of quadratic BSDEs
- Representation theorems for generators of reflected BSDEs with continuous and linear growth generators
- A general theory of finite state backward stochastic difference equations
- Representation theorem for generators of BSDEs with monotonic and polynomial-growth generators in the space of processes
- A representation for filtration-consistent nonlinear expectations and its application
- A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications
- A representation theorem of generators for BSDEs with an infinite time interval
- Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem
- Representation theorems for generators of BSDEs in \(L_p\) spaces
- Representation theorems for generators of BSDEs with monotonic and convex growth generators
- Viability for Itô stochastic systems with non-Lipschitzian coefficients and its application
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