A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes
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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)
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Cites work
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- A limit theorem for solutions to BSDEs in the space of processes
- A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions
- Adapted solution of a backward stochastic differential equation
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations with continuous coefficient
- Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
- Converse comparison theorems for backward stochastic differential equations
- Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
- Jensen's inequality for \(g\)-expectation. I
- Limit theorem and uniqueness theorem of backward stochastic differential equations
- Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
- On Jensen's inequality for \(g\)-expectation
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Representation theorems for generators of backward stochastic differential equations
- Representation theorems for generators of backward stochastic differential equations and their applications
- Some results on the uniqueness of generators of backward stochastic differential equations
- \(L^p\) solutions of backward stochastic differential equations.
Cited in
(21)- Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions
- Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem
- A representation for filtration-consistent nonlinear expectations and its application
- Viability for Itô stochastic systems with non-Lipschitzian coefficients and its application
- A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications
- A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators
- A representation theorem for generators of BSDEs driven by a Lévy process
- A general theory of finite state backward stochastic difference equations
- Representation theorems of monotonicity generators for BSDEs via \(L^p\) (\(p > 1\)) solutions in general time intervals
- A representation theorem of generators for BSDEs with an infinite time interval
- Representation theorems for generators of BSDEs with monotonic and convex growth generators
- Representation theorems for generators of reflected BSDEs with continuous and linear growth generators
- 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
- Representation theorems for generators of backward stochastic differential equations and their applications
- A representation theorem and a converse comparison theorem of RBSDEs with continuous coefficients
- 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 theorems for generators of BSDEs in \(L_p\) spaces
- Representation theorem for generators of quadratic BSDEs
- Representation theorem for generators of BSDEs with monotonic and polynomial-growth generators in the space of processes
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