A comonotonic theorem for backward stochastic differential equations in $L^p$ and its applications
We study backward stochastic differential equations (BSDEs) under weak assumptions on the data. We obtain a comonotonic theorem for BSDEs in $L^p,\quad 1, 1 < p ≤ 2$. As applications of this theorem, we study the relation between Choquet expectations and minimax expectations and the relation...
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| Дата: | 2012 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | Англійська |
| Опубліковано: |
Institute of Mathematics, NAS of Ukraine
2012
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| Онлайн доступ: | https://umj.imath.kiev.ua/index.php/umj/article/view/2614 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |
Репозитарії
Ukrains’kyi Matematychnyi Zhurnal| Резюме: | We study backward stochastic differential equations (BSDEs) under weak assumptions on the data. We obtain a comonotonic theorem for BSDEs in $L^p,\quad 1, 1 < p ≤ 2$. 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 known results of Chen et al. |
|---|