BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem for \({\mathcal E}\)-supermartingales in \(L^p\)

DOI10.1216/RMJ-2013-43-2-677zbMath1270.60069OpenAlexW2019959866MaRDI QIDQ350794

Zhaojun Zong, Feng Hu

Publication date: 3 July 2013

Published in: Rocky Mountain Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.rmjm/1372776713

zbMATH Keywords

comparison theorembackward stochastic differential equation (BSDE)\({\mathcal F}_t\)-consistent nonlinear expectation (\(\mathcal F\)-expectation)generalized \(g\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)

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