A Property of <Emphasis Type="Italic">g</Emphasis>-Expectation |
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| Authors: | Email author" target="_blank">Long?JiangEmail author |
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| Institution: | (1) School of Mathematics and System Sciences, Shandong University, Jinan 250100, P. R. China;(2) Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, P. R. China |
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| Abstract: | This paper proves that, under the hypothesis g(t, 0, 0)≡0 and some natural assumptions, the generator g of a backward stochastic differential equation can be uniquely determined by the corresponding g-expectations with all terminal conditions. The main result of this paper also confirms and extends Peng Shige’s conjecture.
Supported by the National Natural Science Foundation of China (No. 10131030) |
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| Keywords: | Backward stochastic differential equation Comparison theorem g-Expectation Conditional g-expectation Price system |
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