Representation theorems for generators of backward stochastic differential equations and their applications

Long Jiang

Stochastic Processes and their Applications, 2005, vol. 115, issue 12, 1883-1903

Abstract: We prove that the generator g of a backward stochastic differential equation (BSDE) can be represented by the solutions of the corresponding BSDEs at point (t,y,z) if and only if t is a conditional Lebesgue point of generator g with parameters (y,z). By this conclusion, we prove that, if g is a Lebesgue generator and g is independent of y, then, Jensen's inequality for g-expectation holds if and only if g is super homogeneous; we also obtain a converse comparison theorem for deterministic generators of BSDEs.

Keywords: Backward; stochastic; differential; equation; Representation; theorem; Conditional; Lebesgue; point; Lebesgue; generator; g-Expectation; Converse; comparison; theorem (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (12)

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