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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| Datum: | 2012 |
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| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2012
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| Schriftenreihe: | Український математичний журнал |
| Schlagworte: | |
| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/164412 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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. |