| Limit theorem and uniqueness theorem of backward stochastic differential equations |
| |
| 作者姓名： | JIANG Long |
| |
| 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： | 25 October 2004 |
| 修稿时间： | 4 July 2006 |
Limit theorem and uniqueness theorem of backward stochastic differential equations |
| |
| JIANG Long.Limit theorem and uniqueness theorem of backward stochastic differential equations[J].Science in China(Mathematics),2006,49(10):1353-1362. |
| |
| Authors: | JIANG Long |
| |
| Institution: | 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 |
| 本文献已被 CNKI 万方数据 SpringerLink 等数据库收录！ |
|
