A comonotonic theorem for backward stochastic differential equations in Lp and its applications
We study backward stochastic differential equations (BSDE) under weak assumptions on the data. We obtain a comonotonic theorem for BSDE in Lp; 1 < p ≤ 2: As applications of this theorem, we study the relation between Choquet expectations and minimax expectations and the relation between Choquet e...
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| Date: | 2012 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2012
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| Series: | Український математичний журнал |
| Subjects: | |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/164412 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | A comonotonic theorem for backward stochastic differential equations in Lp and its applications / Z.J. Zong // Український математичний журнал. — 2012. — Т. 64, № 6. — С. 752-765. — Бібліогр.: 18 назв. — англ. |