期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

A Property of g-Expectation 被引量：2

A Property of g-Expectation
原文传递
导出
摘要 This paper proves that, under the hypothesis g(t, 0, 0)≡0 and some natural assumptions, the generator g of a backward stochastic differential equation can be uniquely determined by the corresponding g-expectations with all terminal conditions. The main result of this paper also confirms and extends Peng Shige’s conjecture. This paper proves that, under the hypothesis g(t, 0, 0)≡0 and some natural assumptions, the generator g of a backward stochastic differential equation can be uniquely determined by the corresponding g-expectations with all terminal conditions. The main result of this paper also confirms and extends Peng Shige’s conjecture.
作者 LongJIANG
机构地区 SchoolofMathematicsandSystemSciences
出处 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2004年第5期769-778,共10页 数学学报（英文版）
基金 Supported by the National Natural Science Foundation of China(No.10131030)
关键词 Backward stochastic differential equation Comparison theorem G-EXPECTATION Conditional g-expectation Price system Backward stochastic differential equation Comparison theorem g-Expectation Conditional g-expectation Price system
分类号 O211.63 [理学—概率论与数理统计]
  • 相关文献

参考文献8

  • 1Pardoux, E., Peng, S.: Adapted solution of a backward stochastic differential equation. Systems Control Letters, 14, 55-61 (1990).
  • 2Peng, S.: BSDE and related g-expectations, Backward Stochastic Differential Equations, El Karoui, N. and Mazliak, L. eds., Paris, 1995-1996, Pitman Research Notes in Mathematics Series, 364, 141-159, Longman,Barlow, 1997.
  • 3Chen, Z., Epstein, L.: Ambiguity, risk and asset returns in continuous time. Econometrica, 70, 1403-1443(2002).
  • 4Briand, P., Coquet, F., Hu, Y., M6min, J., Peng, S.: A converse comparison theorem for BSDEs and related properties of g-expectation. Electon. Comm. Probab., 5, 101-117 (2000).
  • 5Coquet, F., Hu, Y., M6min, J., Peng, S.: Filtration consistent nonlinear expectations and related g-expectation. Probab. Theory Related Fields, 123, 1-27 (2002).
  • 6Chen, Z.: A Property of Backward Stochastic Differential Equations. C. R. Acad. Sci. Paris, Sdrie I,326(4), 483 488 (1998).
  • 7El Karoui, N., Peng, S., Quenez, M. C.: Backward stochastic differential equations in finance. Math.Finance, 7(1), 1-71 (1997).
  • 8El Karoui, N., Quenez. M. C.: Non-Linear Pricing Theory and Backward Stochastic Differential Equations,Financial Mathematics, Runggaldier, W. J. eds., Lectures given at the 3rd Session of the C. I. M. E., Italy,191-246, Springer-Verlag, New York, 1997.

同被引文献3

引证文献2

二级引证文献1

Acta Mathematica Sinica,English Series
2004年 第5期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部