| Lévy过程驱动的BSDE的反比较定理与Jensen不等式 |
| |
| 引用本文： | 李标,徐静,张波.Lévy过程驱动的BSDE的反比较定理与Jensen不等式[J].数学杂志,2015,35(1):23-34. |
| |
| 作者姓名： | 李标 徐静 张波 |
| |
| 作者单位： | 中南财经政法大学金融学院, 湖北 武汉 430073,重庆大学经济与管理学院, 重庆 400030,中国人民大学统计学院, 北京 100872 |
| |
| 基金项目： | Supported by National Natural Science Foundation of China (11126314); 2013 Basic Research Projects at Zhongnan University of Economics and Law (2013019); the Central Universities Research Program in Zhongnan University of Economics and Law (2014066). |
| |
| 摘 要： | 本文研究了由一维Lévy过程驱动的倒向随机微分方程(BSDE)的反比较定理.利用一般g-期望下BSDE的反比较定理的证明方法,推导出了一般f-期望下BSDE的反比较定理,并给出了一般f-期望下Jensen不等式成立的充分必要条件.
|
| 关 键 词： | 反比较定理 Lévy过程 Jensen不等式 |
| 收稿时间： | 2013/5/7 0:00:00 |
| 修稿时间： | 2013/6/25 0:00:00 |
CONVERSE COMPARISON THEOREM FOR BSDE DRIVEN BY LÉVY PROCESS AND JENSEN'S INEQUALITY |
| |
| LI Biao,XU Jing and ZHANG Bo.CONVERSE COMPARISON THEOREM FOR BSDE DRIVEN BY LÉVY PROCESS AND JENSEN'S INEQUALITY[J].Journal of Mathematics,2015,35(1):23-34. |
| |
| Authors: | LI Biao XU Jing and ZHANG Bo |
| |
| Institution: | School of Finance, Zhongnan University of Economics and Law, Wuhan 430073, China,School of Econ. and Business Administration, Chongqing University, Chongqing 400030, China and School of Statistics, Renmin University of China, Beijing 100872, China |
| |
| Abstract: | In this paper, we are devoted to the converse comparison theorem for backward stochastic differential equations (BSDEs, for short) driven by 1-dimensional Lévy processes. With the similar method of the converse comparison theorem under g-expectation, we prove the converse comparison theorem under f-expectation. Moreover, we provide a necessary and sufficient condition for the Jensen''s inequality to hold under the f-expectation, the nonlinear expectation defined by BSDEs driven by Lévy processes. |
| |
| Keywords: | converse comparison theorem Lévy process Jensen''s inequality |
|
| 点击此处可从《数学杂志》浏览原始摘要信息 |
| 点击此处可从《数学杂志》下载免费的PDF全文 |
|
