A CONVERSE COMPARISON THEOREM FOR BSDES AND RELATED PROPERTIES OF g-EXPECTATION

被引：106

作者：

Briand, Philippe ^{[1
]}

Coquet, Francois ^{[1
]}

Hu, Ying ^{[1
]}

Memin, Jean ^{[1
]}

Peng, Shige ^{[2
]}

机构：

[1] Univ Rennes 1, IRMAR, F-35042 Rennes, France

[2] Shandong Univ, Dept Math, Jinan 250100, Peoples R China

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2000年 / 5卷

关键词：

backward stochastic differential equations; comparison theorem;

D O I：

10.1214/ECP.v5-1025

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In [1], Z. CHEN proved that, if for each terminal condition xi, the solution of the BSDE associated to the standard parameter (xi,g(1)) is equal at time t = 0 to the solution of the BSDE associated to (xi, g(2)) then we must have g(1) g(2). This result yields a natural question: what happens in the case of an inequality in place of an equality? In this paper, we try to investigate this question and we prove some properties of "g-expectation", notion introduced by S. PENG in [8].

引用

页码：101 / 117

页数：17

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