A comonotonic theorem for backward stochastic differential equations in [L.sup.p] and its applications
We study backward stochastic differential equations (BSDE) under weak assumptions on the data. We obtain a comonotonic theorem for BSDE in [L.sup.p], 1 < p [less than or equal to] 2. As applications of this theorem, we study the relation between Choquet expectations and minimax expectations and t...
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Published in | Ukrainian mathematical journal Vol. 64; no. 6; p. 857 |
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Main Author | |
Format | Journal Article |
Language | English |
Published |
Springer
01.11.2012
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Subjects | |
Online Access | Get full text |
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Summary: | We study backward stochastic differential equations (BSDE) under weak assumptions on the data. We obtain a comonotonic theorem for BSDE in [L.sup.p], 1 < p [less than or equal to] 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. |
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ISSN: | 0041-5995 1573-9376 |