Representation Theorem for Generators of Quadratic BSDEs

被引：2
|
作者：
Zheng, Shi-qiu [1 ,2 ]
Li, Shou-mei [1 ]
机构：
[1] Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
[2] North China Univ Sci & Technol, Coll Sci, Tangshan 063210, Peoples R China
来源：
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 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; STOCHASTIC DIFFERENTIAL-EQUATIONS; CONVERSE COMPARISON THEOREM; GROWTH GENERATORS; EXPECTATIONS; SPACE;
D O I：
10.1007/s10255-018-0772-8
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
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.
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页码：622 / 635
页数：14
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