A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications

DOI10.1007/s11253-012-0684-3zbMath1272.60040OpenAlexW2015575653MaRDI QIDQ1933292

Zhaojun Zong

Publication date: 23 January 2013

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-012-0684-3

zbMATH Keywords

backward stochastic differential equationsChoquet expectationcomonotonic theoremminimax expectationPeng's \(g\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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• Generalized BSDEs and nonlinear Neumann boundary value problems
• Choquet expectation and Peng's \(g\)-expectation
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• A comonotonic theorem for BSDEs
• Minimax pricing and Choquet pricing
• \(L^p\) solutions of backward stochastic differential equations.
• Theory of capacities
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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