A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
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Publication:1583630
DOI10.1214/ECP.v5-1025zbMath0966.60054MaRDI QIDQ1583630
Philippe Briand, Ying Hu, Shige Peng, Jean Mémin, François Coquet
Publication date: 14 December 2000
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/121154
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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II, Non-smooth analysis method in optimal investment-BSDE approach, Representation of the penalty term of dynamic concave utilities, A limit theorem for solutions to BSDEs in the space of processes, Jensen's inequality for filtration consistent nonlinear expectation without domination condition, A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation, Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains, A local limit theorem for solutions of BSDEs with Mao's non-Lipschitz generator, Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations, On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case, Representation theorems for generators of BSDEs in \(L_p\) spaces, Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures, Concentration of dynamic risk measures in a Brownian filtration, A general theory of finite state backward stochastic difference equations, Converse comparison theorems for backward stochastic differential equations, On the existence of solutions to BSDEs with generalized uniformly continuous generators, Representation theorems for generators of backward stochastic differential equations, Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations, Optimal stopping for non-linear expectations. 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