Title of article :
Representation theorems for generators of backward stochastic differential equations and their applications
Author/Authors :
Jiang، نويسنده , , Long، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Pages :
21
From page :
1883
To page :
1903
Abstract :
We prove that the generator g of a backward stochastic differential equation (BSDE) can be represented by the solutions of the corresponding BSDEs at point ( t , y , z ) if and only if t is a conditional Lebesgue point of generator g with parameters ( y , z ) . By this conclusion, we prove that, if g is a Lebesgue generator and g is independent of y, then, Jensenʹs inequality for g-expectation holds if and only if g is super homogeneous; we also obtain a converse comparison theorem for deterministic generators of BSDEs.
Keywords :
Representation theorem , Backward stochastic differential equation , Lebesgue generator , g -expectation , Converse comparison theorem , Conditional Lebesgue point
Journal title :
Stochastic Processes and their Applications
Serial Year :
2005
Journal title :
Stochastic Processes and their Applications
Record number :
1577720
Link To Document :
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