A comonotonic theorem for backward stochastic differential equations in L (p) and its applications

作者：Zong, Z. -J.^*

来源：Ukrainian Mathematical Journal, 2012, 64(6): 857-874.

DOI：10.1007/s11253-012-0684-3

• BSDES
• LIMIT

We study backward stochastic differential equations (BSDE) under weak assumptions on the data. We obtain a comonotonic theorem for BSDE in L (p) ; 1 < p a parts per thousand currency sign 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.

• 出版日期2012-11
• 单位曲阜师范大学