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Author:

Zheng, Shi-qiu (Zheng, Shi-qiu.) | Li, Shou-mei (Li, Shou-mei.) (Scholars:李寿梅)

Indexed by:

Scopus SCIE

Abstract:

In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in z. As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic g-expectation.

Keyword:

representation theorem of generator converse comparison theorem g-expectation backward stochastic differential equation

Author Community:

  • [ 1 ] [Zheng, Shi-qiu]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 2 ] [Li, Shou-mei]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 3 ] [Zheng, Shi-qiu]North China Univ Sci & Technol, Coll Sci, Tangshan 063210, Peoples R China

Reprint Author's Address:

  • 李寿梅

    [Li, Shou-mei]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China

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Source :

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES

ISSN: 0168-9673

Year: 2018

Issue: 3

Volume: 34

Page: 622-635

0 . 8 0 0

JCR@2022

ESI Discipline: MATHEMATICS;

ESI HC Threshold:63

JCR Journal Grade:4

Cited Count:

WoS CC Cited Count: 2

SCOPUS Cited Count: 2

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 7

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