Backward stochastic differential equations with a uniformly continuous generator and related g-expectation

Guangyan Jia

Stochastic Processes and their Applications, 2010, vol. 120, issue 11, 2241-2257

Abstract: In this paper, we will study a class of backward stochastic differential equations (BSDEs for short), for which the generator (coefficient) g(t,y,z) is Lipschitz continuous with respect to y and uniformly continuous with respect to z. We establish several properties for such BSDEs, including comparison and converse comparison theorems, a representation theorem for g and a continuous dependence theorem. Then we introduce a new class of g-expectation based on such backward stochastic differential equations, and discuss its properties.

Keywords: Backward; stochastic; differential; equation; g-expectation; Strict; monotonicity; Uniform; continuity; Uniqueness (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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