A comonotonic theorem for backward stochastic differential equations in Lp and its applications

We study backward stochastic differential equations (BSDE) under weak assumptions on the data. We obtain a comonotonic theorem for BSDE in Lp; 1 < p ≤ 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.