A comonotonic theorem for backward stochastic differential equations in $L^p$ and its applications

• Datum: 2012
• Hauptverfasser: Zong, Z.-J., Зонг, З.-Ж.
• Format: Artikel
• Sprache: Englisch
• Veröffentlicht: Institute of Mathematics, NAS of Ukraine 2012
• Online Zugang: https://umj.imath.kiev.ua/index.php/umj/article/view/2614
• Назва журналу: Ukrains’kyi Matematychnyi Zhurnal

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...