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A Converse Comparison Theorem for <Emphasis Type="Italic">g</Emphasis>-Expectations |
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| Authors: | |
| Institution: | (1) School of Mathematics and System Sciences, Shandong University, Jinan, 250100, China;(2) Department of Mathematics, China University of Mining and Technology, Xuzhou, 221008, China |
| Abstract: | Abstract With the help of a limit property of solutions of backward stochastic differential equations(BSDEs), this paper establishes a converse comparison theorem for deterministic generators g of BSDEs under the assumption g(t, y, 0) ≡ 0. Supported by the National Natural Science Foundation of China (No.10131030) |
| Keywords: | Backward stochastic differential equation generator g-expectation converse comparison theorem |
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