ترغب بنشر مسار تعليمي؟ اضغط هنا

Representation theorems for generators of BSDEs and the extended g-expectations in probability spaces with general filtration

82   0   0.0 ( 0 )
 نشر من قبل Guodong Zhang
 تاريخ النشر 2019
  مجال البحث
والبحث باللغة English




اسأل ChatGPT حول البحث

In this paper, we establish representation theorems for generators of backward stochastic differential equations (BSDEs in short) in probability spaces with general filtration from the perspective of transposition solutions of BSDEs. As applications, we give a converse comparison theorem for generators of BSDEs and also some characterizations to positive homogeneity, independence of y, subadditivity and convexity of generators of BSDEs. Then, we extend concepts of g-expectations and conditional g-expectations to the probability spaces with general filtration and investigate their properties.



قيم البحث

اقرأ أيضاً

278 - Lishun Xiao , Shengjun Fan 2017
In this paper we first prove a general representation theorem for generators of backward stochastic differential equations (BSDEs for short) by utilizing a localization method involved with stopping time tools and approximation techniques, where the generators only need to satisfy a weak monotonicity condition and a general growth condition in $y$ and a Lipschitz condition in $z$. This result basically solves the problem of representation theorems for generators of BSDEs with general growth generators in $y$. Then, such representation theorem is adopted to prove a probabilistic formula, in viscosity sense, of semilinear parabolic PDEs of second order. The representation theorem approach seems to be a potential tool to the research of viscosity solutions of PDEs.
In this paper, we first study one-dimensional quadratic backward stochastic differential equations driven by $G$-Brownian motions ($G$-BSDEs) with unbounded terminal values. With the help of a $theta$-method of Briand and Hu [4] and nonlinear stochas tic analysis techniques, we propose an approximation procedure to prove existence and uniqueness result when the generator is convex (or concave) and terminal value is of exponential moments of arbitrary order. Finally, we also establish the well-posedness of multi-dimensional G-BSDEs with diagonally quadratic generators.
This paper is devoted to solving a multidimensional backward stochastic differential equation with a general time interval, where the generator is uniformly continuous in $(y,z)$ non-uniformly with respect to $t$. By establishing some results on dete rministic backward differential equations with general time intervals, and by virtue of Girsanovs theorem and convolution technique, we establish a new existence and uniqueness result for solutions of this kind of backward stochastic differential equations, which extends the results of Hamadene (2003) and Fan, Jiang, Tian (2011) to the general time interval case.
The purpose of this note is to propose a new approach for the probabilistic interpretation of Hamilton-Jacobi-Bellman equations associated with stochastic recursive optimal control problems, utilizing the representation theorem for generators of back ward stochastic differential equations. The key idea of our approach for proving this interpretation consists of transmitting the signs between the solution and generator via the identity given by representation theorem. Compared with existing methods, our approach seems to be more applicable for general settings. This can also be regarded as a new application of such representation theorem.
94 - Hanwu Li , Guomin Liu 2021
We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with diagonal generators. Two methods, i.e., the penalization method and the Picard iteration a rgument, are provided to prove the existence and uniqueness of solutions. We also study its connection with the obstacle problem of a system of fully nonlinear PDEs.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا