A probabilistic characterization of g-harmonic functions

DOI10.3934/Math.2017.1.70OpenAlexW1629866624MaRDI QIDQ2335198

Li-Yun Pan, Huanhuan Zhang, Liang Cai

Publication date: 14 November 2019

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2017.1.70

zbMATH Keywords

viscosity solutionBSDEnonlinear Feynman-Kac formulag-harmonic functiong-martingale

Mathematics Subject Classification ID

Operator theory (47-XX) Probability theory and stochastic processes (60-XX)

Cites Work

• Maximal inequalities for \(g\)-martingales
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• User’s guide to viscosity solutions of second order partial differential equations
• Continuous properties of \(g\)-martingales
• Stochastic differential equations. An introduction with applications.
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