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| Limit theorem and uniqueness theorem of backward stochastic differential equations | |
| 引用本文： | JIANG Long Department of Mathematics,China University of Mining and Technology,Xuzhou 221008,China, Institute of Mathematics,Fudan University,Shanghai 200433,China, School of Mathematics and System Sciences,Shandong University,Jinan 250100,China. Limit theorem and uniqueness theorem of backward stochastic differential equations[J]. 中国科学A辑(英文版), 2006, 49(10): 1353-1362. DOI: 10.1007/s11425-006-2024-2 |
| 作者姓名： | JIANG Long Department of Mathematics China University of Mining and Technology Xuzhou 221008 China Institute of Mathematics Fudan University Shanghai 200433 China School of Mathematics and System Sciences Shandong University Jinan 250100 China |
| 作者单位： | JIANG Long Department of Mathematics，China University of Mining and Technology，Xuzhou 221008，China; Institute of Mathematics，Fudan University，Shanghai 200433，China; School of Mathematics and System Sciences，Shandong University，Jinan 250100，China |
| 摘 要： | This paper establishes a limit theorem for solutions of backward stochastic differential equations (BSDEs). By this limit theorem, this paper proves that, under the standard assumption g(t,y,0) = 0, the generator g of a BSDE can be uniquely determined by the corresponding g-expectationεg;this paper also proves that if a filtration consistent expectation S can be represented as a g-expectationεg, then the corresponding generator g must be unique. |
| 收稿时间： | 2004-10-25 |
| 修稿时间： | 2006-07-04 |
Limit theorem and uniqueness theorem of backward stochastic differential equations |
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| JIANG Long. Limit theorem and uniqueness theorem of backward stochastic differential equations[J]. Science in China(Mathematics), 2006, 49(10): 1353-1362. DOI: 10.1007/s11425-006-2024-2 | |
| Authors: | JIANG Long |
| Affiliation: | Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, China;Institute of Mathematics, Fudan University, Shanghai 200433, China;School of Mathematics and System Sciences, Shandong University, Jinan 250100, China |
| Abstract: | This paper establishes a limit theorem for solutions of backward stochastic differential equations (BSDEs). By this limit theorem, this paper proves that, under the standard assumption g(t,y,0) ≡ 0, the generator g of a BSDE can be uniquely determined by the corresponding g-expectation ɛ g; this paper also proves that if a filtration consistent expectation ɛ can be represented as a g-expectation ɛ g, then the corresponding generator g must be unique. |
| Keywords: | backward stochastic differential equation g-expectation generator |
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