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数学物理学报(A辑) 2008
Comonotonic Theorems of BSDEs with Stochastic Generators
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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.