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作者:

Zheng, Shi-qiu (Zheng, Shi-qiu.) | Li, Shou-mei (Li, Shou-mei.) (学者:李寿梅)

收录:

Scopus SCIE

摘要:

In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in z. As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic g-expectation.

关键词:

representation theorem of generator converse comparison theorem g-expectation backward stochastic differential equation

作者机构:

  • [ 1 ] [Zheng, Shi-qiu]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 2 ] [Li, Shou-mei]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 3 ] [Zheng, Shi-qiu]North China Univ Sci & Technol, Coll Sci, Tangshan 063210, Peoples R China

通讯作者信息:

  • 李寿梅

    [Li, Shou-mei]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China

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来源 :

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES

ISSN: 0168-9673

年份: 2018

期: 3

卷: 34

页码: 622-635

0 . 8 0 0

JCR@2022

ESI学科: MATHEMATICS;

ESI高被引阀值:63

JCR分区:4

被引次数:

WoS核心集被引频次: 2

SCOPUS被引频次: 2

ESI高被引论文在榜: 0 展开所有

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