کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156854 | 958885 | 2010 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Backward stochastic differential equations with a uniformly continuous generator and related gg-expectation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we will study a class of backward stochastic differential equations (BSDEs for short), for which the generator (coefficient) g(t,y,z)g(t,y,z) is Lipschitz continuous with respect to yy and uniformly continuous with respect to zz. We establish several properties for such BSDEs, including comparison and converse comparison theorems, a representation theorem for gg and a continuous dependence theorem. Then we introduce a new class of gg-expectation based on such backward stochastic differential equations, and discuss its properties.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 120, Issue 11, November 2010, Pages 2241–2257
Journal: Stochastic Processes and their Applications - Volume 120, Issue 11, November 2010, Pages 2241–2257
نویسندگان
Guangyan Jia,