Representation Theorem for Generators of Quadratic BSDEs

被引：0
|
作者：
Shi-qiu ZHENG [1 ,2 ]
Shou-mei LI [1 ]
机构：
[1] College of Applied Sciences, Beijing University of Technology
[2] College of Sciences, North China University of Science and Technology
来源：
Acta Mathematicae Applicatae Sinica | 2018年 / 34卷 / 03期
基金：
中国国家自然科学基金;
关键词：
backward stochastic differential equation; representation theorem of generator; converse comparison theorem; g-expectation;
D O I：
暂无
中图分类号：
O211 [概率论（几率论、或然率论）];
学科分类号：
摘要：
In this paper, we establish a general representation theorem for generator of backward stochastic differential equation(BSDE), whose generator has a quadratic growth in z. As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic g-expectation.
引用
收藏
页码：622 / 635
页数：14
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