A comonotonic theorem for BSDEs

被引：22

作者：

Chen, ZJ

Kulperger, R

Wei, G

机构：

[1] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON N6A 5B7, Canada

[2] Shandong Univ, Dept Math, Jinan 250100, Peoples R China

[3] Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2005年 / 115卷 / 01期

基金：

中国国家自然科学基金; 加拿大自然科学与工程研究理事会;

关键词：

backward stochastic differential equation (BSDE); choquet integral; capacity; partial differential equation (PDE);

D O I：

10.1016/j.spa.2004.08.006

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：

Pardoux and Peng (Systems Control Lett. 14 (1990) 55) introduced a class of nonlinear backward stochastic differential equations (BSDEs). According to Pardoux and Peng's theorem, the solution of this type of BSDE consists of a pair of adapted processes, say (y,z). Since then, many researchers have been exploring the properties of this pair solution (y,z), especially the properties of the first part y. In this paper, we shall explore the properties of the second part z. A comonotonic theorem with respect to z is obtained. As an application of this theorem, we prove an integral representation theorem of the solution of BSDEs. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：41 / 54

页数：14

共 15 条

[1] Ambiguity, risk, and asset returns in continuous time [J].