A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
type: Item
instance of: scholarly article
title: A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
zbMATH Open document ID: 1272.60040
published in: Ukrainian Mathematical Journal
publication date: 2013-01-23T00:00:00Z
review text: The papers present some results on a class of backward stochastic differential equations (BSDE) under weaker assumptions on the terminal data. The author investigates the comonotonic theorem for BSDEs in \(L^p\) (Theorem 3.1). Then, using the above theorem, he studies some important results for applications as the relation between Choquet expectation and minimax expectation (Theorem 4.3) and the relation between Choquet expectation and the generalized Pang's \(g\)-expectation (Theorem 4.4). Also, a good example is given. The results generalize the well-known results by \textit{Z. Chen} et al. [Ann. Probab. 33, No. 3, 1179--1199 (2005; Zbl 1066.60054); Insur. Math. Econ. 38, No. 3, 518--528 (2006; Zbl 1168.60355); Stochastic Processes Appl. 115, No. 1, 41--54 (2005; Zbl 1070.60050); Stat. Probab. Lett. 80, No. 3--4, 191--195 (2010; Zbl 1181.60084)].
reviewed by: Romeo Negrea
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 6128274
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: comonotonic theorem
zbMATH Keywords: Choquet expectation
zbMATH Keywords: minimax expectation
zbMATH Keywords: Peng's \(g\)-expectation
author: Zhaojun Zong
MaRDI profile type: Publication
full work available at URL: s11253-012-0684-3
OpenAlex ID: W2015575653
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DOI: 10.1007/S11253-012-0684-3
description: scientific article; zbMATH DE number 6128274