Dynamically consistent nonlinear evaluations with their generating functions in L
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Authors: | Feng Hu |
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Institution: | 11715. School of Mathematical Sciences, Qufu Normal University, Qufu, 273165, P. R. China
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Abstract: | In this paper, we study dynamically consistent nonlinear evaluations in L p (1 < p < 2). One of our aim is to obtain the following result: under a domination condition, an F t -consistent evaluation is an E g -evaluation in L p . Furthermore, without the assumption that the generating function g (t, ω, y, z) is continuous with respect to t, we provide some useful characterizations of an E g -evaluation by g and give some applications. These results include and extend some existing results. |
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Keywords: | Backward stochastic differential equation (BSDE) dynamically consistent nonlinear evaluation g-evaluation dynamic risk measure |
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