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

页码：622 / 635

页数：14

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