A comonotonic theorem for backward stochastic differential equations in Lp and its applications

被引：0

作者：

Z.-J. Zong

机构：

[1] Qufu Normal University,School of Mathematical Sciences

来源：

Ukrainian Mathematical Journal | 2012年 / 64卷

关键词：

Stochastic Differential Equation; Backward Stochastic Differential Equation; Stochastic Differential Game; Null Subset; Backward Stochastic Differential Equation;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We study backward stochastic differential equations (BSDE) under weak assumptions on the data. We obtain a comonotonic theorem for BSDE in Lp; 1 < p ≤ 2: As applications of this theorem, we study the relation between Choquet expectations and minimax expectations and the relation between Choquet expectations and generalized Peng’s g-expectations. These results generalize the well-known results of Chen et al.

引用

页码：857 / 874

页数：17

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