A converse comparison theorem for \(g\)-expectations

DOI10.1007/S10255-004-0208-5zbMath1059.60072OpenAlexW1979560836MaRDI QIDQ705057

Long Jiang

Publication date: 25 January 2005

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

Full work available at URL: https://doi.org/10.1007/s10255-004-0208-5

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Some results on the uniqueness of generators of backward stochastic differential equations
• A general converse comparison theorem for backward stochastic differential equations
• A property of backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance

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