A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions

DOI10.1007/S10114-007-0943-7zbMath1124.60048OpenAlexW2106997842MaRDI QIDQ2385333

Sheng-Jun Fan

Publication date: 12 October 2007

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-007-0943-7

zbMATH Keywords

generator\(g\)-expectationbackward stochastic differential equationconverse comparison theorem\(g\)-evaluation

Mathematics Subject Classification ID

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

Related Items (4)

Dynamics and control of variable geometry truss manipulator ⋮ A limit theorem for solutions to BSDEs in the space of processes ⋮ A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes ⋮ A note on Jensen's inequality for BSDEs

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Jensen's inequality for \(g\)-expectation. I
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Representation theorems for generators of backward stochastic differential equations
• On Jensen's inequality for \(g\)-expectation
• Some results on the uniqueness of generators of backward stochastic differential equations
• Converse comparison theorems for backward stochastic differential equations
• Representation theorems for generators of backward stochastic differential equations and their applications
• A property of backward stochastic differential equations

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