BSDES UNDER FILTRATION-CONSISTENT NONLINEAR EXPECTATIONS AND THE CORRESPONDING DECOMPOSITION THEOREM FOR epsilon-SUPERMARTINGALES IN L-p

作者：Zong Zhaojun^*; Hu Feng

来源：Rocky Mountain Journal of Mathematics, 2013, 43(2): 677-695.

DOI：10.1216/RMJ-2013-43-2-677

• F-t-consistent nonlinear expectation (F-expectation)
• backward stochastic differential equation (BSDE)
• generalized g-expectation
• comparison theorem

In this paper, we introduce the notion of F-t-consistent expectation defined on L(Omega, F, P) and prove an existence and uniqueness theorem for solutions and a comparison theorem of BSDE under epsilon(mu)-dominated F-expectations. Furthermore, as an application of this comparison theorem, we obtain the decomposition theorem for epsilon-supermartingales.

• 出版日期2013
• 单位山东大学; 曲阜师范大学