Representation theorem for generators of BSDEs driven by \(G\)-Brownian motion and its applications

DOI10.1155/2013/342038zbMath1310.60082arXiv1306.1929OpenAlexW1996764856WikidataQ58915982 ScholiaQ58915982MaRDI QIDQ2015381

Ming Shang Hu, Kun He

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.1929

zbMATH Keywords

representation theorembackward stochastic differential equations\(G\)-Brownian motionconverse comparison theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

On Monotonicity and Order-Preservation for MultidimensionalG-Diffusion Processes, Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Wellposedness of second order backward SDEs
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Adapted solution of a backward stochastic differential equation
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Representation theorems for generators of backward stochastic differential equations
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Nonlinear expectations and nonlinear Markov chains
• Converse comparison theorems for backward stochastic differential equations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• A property of backward stochastic differential equations
• Nonlinear Expectations and Stochastic Calculus under Uncertainty