\(L^{p}\) solutions of infinite time interval BSDEs and the corresponding \(g\)-expectations and \(g\)-martingales (Q2862247)
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scientific article; zbMATH DE number 6227127
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | \(L^{p}\) solutions of infinite time interval BSDEs and the corresponding \(g\)-expectations and \(g\)-martingales |
scientific article; zbMATH DE number 6227127 |
Statements
14 November 2013
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backward stochastic differential equations
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generalized \(g\)-expectations
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generalized \(g\)-martingales
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\(L^{p}\) solutions of infinite time interval BSDEs and the corresponding \(g\)-expectations and \(g\)-martingales (English)
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Existence of unique \(L^p\) solutions to a class of backward stochastic differential equations and an associated comparison principle are established. Under additional conditions, this facilitates an extension of Peng's definition of a \(g\)-expectation. Properties including a stability property of this generalized notion are established. The paper concludes by defining generalized \(g\)-martingales/supermartingales and gives an example thereof.
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