Jensen’s Inequality for Backward Stochastic Differential Equations

Abstract Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen’s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g(t, 0) ≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen’s inequality for g- expectation in [4, 7–9]. *Project supported by the National Natural Science Foundation of China (No.10325101) and the Science Foundation of China University of Mining and Technology.     

The Absolute of a Topological Space and its Application to Abelian l-groups

We give a axiomatic treatment of the absolute in the category of all topological spaces and characterize it as a cover with respect to the full subcategory of extremally disconnected spaces. As an application, we obtain the strongly projectable hull of an abelian l-group as a unique lifting of the absolute of its spectrum. Dedicated to B. V. M.     

A generalized Girsanov transformation of finite state stochastic processes in discrete time

Cohen and Elliott (2010) introduced the backward stochastic difference equations (BSDEs) on spaces related to discrete time, finite state processes. Motivated by obtaining the explicit solution of a linear BSDE under their framework, we develop a new type of Girsanov transformation in this paper.     

Harmonic conformal flows on manifolds of constant curvature

We compute the energy of conformal flows on Riemannian manifolds and we prove that conformal flows on manifolds of constant curvature are critical if and only if they are isometric.      

The domination of g-evaluations and Choquet evaluations

In this paper, we obtain that a convex g evaluation can be dominated by the corresponding Choquet evaluation if and only if g has the form g(t, y, z) = μ t y + h(t, z), where h(t, z) is positively homogeneous and subadditive with respect to z.     

Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients

Abstract

We study the limit of the solutions of systems of semi-linear partial differential equations (PDEs) of second order of parabolic type, with rapidly oscillating periodic coefficients, a singular drift, and singular coefficients of the zero and second order terms. Our basic tool is the approach given by Pardoux [14 Pardoux , E. 1999 . Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: a probabilistic approach . J. Funct. Anal. 167 : 498 – 520 . [CSA] [CROSSREF] [Crossref], [Web of Science ®] , [Google Scholar]]. In particular, we use the weak convergence of an associated backward stochastic differential equation (BSDE).     

Infinite horizon BSDEs with dissipative coefficients in Hilbert spaces and applications

In this paper we study a class of infinite horizon backward stochastic differential equations (BSDEs) of the form

     

Reflected BSDE Driven by a Lévy Process

In this paper, we study the reflected solution of one-dimensional backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion. We prove the existence and uniqueness of the solution using a penalization method combined with Snell envelope theory.      

Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions

This article proposes a new approximation scheme for quadratic-growth BSDEs in a Markovian setting by connecting a series of semi-analytic asymptotic expansions applied to short-time intervals. Although there remains a condition which needs to be checked a posteriori, one can avoid altogether time-consuming Monte Carlo simulation and other numerical integrations for estimating conditional expectations at each space–time node. Numerical examples of quadratic-growth as well as Lipschitz BSDEs suggest that the scheme works well even for large quadratic coefficients, and a fortiori for large Lipschitz constants.     

Transversal Twistor Spaces of Foliations

The transversal twistor space of a foliation of an even codimension is the bundle of the complex structures of the fibers of the transversalbundle of . On there exists a foliation by covering spaces of the leaves of , and any Bottconnection of produces an ordered pair of transversal almost complex structures of . The existence of a Bott connection which yields a structure ₁ that is projectable to the space of leaves isequivalent to the fact that is a transversallyprojective foliation. A Bott connection which yields a projectablestructure ₂ exists iff isa transversally projective foliation which satisfies a supplementarycohomological condition, and, in this case, ₁is projectable as well. ₂ is never integrable.The essential integrability condition of ₁ isthe flatness of the transversal projective structure of .