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

• Published in: Український математичний журнал
• Date: 2012
• Main Author: Zong, Z.J.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2012
• Subjects: Статті
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/164412
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: A comonotonic theorem for backward stochastic differential equations in Lp and its applications / Z.J. Zong // Український математичний журнал. — 2012. — Т. 64, № 6. — С. 752-765. — Бібліогр.: 18 назв. — англ.

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 Choqu...