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...

Full description

Saved in:
Bibliographic Details
Published inUkrainian mathematical journal Vol. 64; no. 6; p. 857
Main Author Zong, Z.-J
Format Journal Article
LanguageEnglish
Published Springer 01.11.2012
Subjects
Differential equations
Online AccessGet full text

Cover

More Information
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.
ISSN:0041-5995
1573-9376