A limit theorem for solutions to BSDEs in the space of processes

DOI10.1016/J.SPL.2007.09.062zbMath1144.60037OpenAlexW2054276304MaRDI QIDQ928975

Jian-Hua Hu, Sheng-Jun Fan

Publication date: 11 June 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.062

zbMATH Keywords

backward stochastic differential equationslimit theorems\(L^p\)-limits

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) (L^p)-limit theorems (60F25)

Related Items (3)

A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes ⋮ Representation theorems of monotonicity generators for BSDEs via L^p (p > 1) solutions in general time intervals ⋮ Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem

Cites Work

• Adapted solution of a backward stochastic differential equation
• Limit theorem and uniqueness theorem of backward stochastic differential equations
• 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
• A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions
• Converse comparison theorems for backward stochastic differential equations
• Representation theorems for generators of backward stochastic differential equations and their applications

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