Representation of filtration-consistent nonlinear expectation by g-expectation in general framework

被引：1

作者：

Shi, Xuejun ^{[1
]}

Ji, Ronglin ^{[2
]}

Feng, Qun ^{[3
]}

机构：

[1] Shandong Normal Univ, Sch Math & Stat, Jinan 250014, Shandong, Peoples R China

[2] Anhui Univ, Sch Math Sci, Hefei, Anhui, Peoples R China

[3] Univ Jinan, Business Sch, Jinan 250022, Shandong, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2021年 / 50卷 / 24期

基金：

中国国家自然科学基金; 中国博士后科学基金;

关键词：

BSDE; infinite horizon; nonlinear expectation; g-expectation; THEOREM; BSDES;

D O I：

10.1080/03610926.2020.1734829

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we mainly study nonlinear expectations on the general domain whose elements can be measurable with respect to a sigma-filed generated by the whole path of Brownian motion on infinite time interval. And we obtain that every translation invariant filtration consistent nonlinear expectation with some dominated condition can be represented by a g-expectation introduced by a backward stochastic differential equation on the general time horizon.

引用

页码：5721 / 5737

页数：17

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