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OALib Journal期刊
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Comonotonic Theorems of BSDEs with Stochastic Generators
带有随机生成元的倒向随机微分方程的共单调定理

Keywords: BSDE,Malliavin derivative,g-expectation,Choquet integral
倒向随机微分方程(简记BSDE)
,Malliavin微分,g-期望,Choquet积分.,倒向随机微分方程,生成元,表示定理,Generators,Stochastic,BSDEs,积分,可加性,期望,Chen,情况,性质,比较,研究,方法,Malliavin,利用

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Abstract:

In this paper, the authors explore the solution (y,z) of BSDEs via the theory of Malliavin derivative. Some methods of comparing part z have been given. And the authors point out that the comonotonic theorems for part z given by Zengjing Chen et al (see 3]) aren't correct when the generators of BSDEs are stochastic. Thus some special conditions, under which the comonotonic theorems for part z are correct even the generators of BSDEs are stochastic, are studied. Then, applying the comonotonic theorems, the authors study the additivity of a class of conditional g-expectations and Choquet integral represention theorems.

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