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Dynamically consistent nonlinear evaluations with their generating functions in L p
Authors:Feng Hu
Institution:11715. School of Mathematical Sciences, Qufu Normal University, Qufu, 273165, P. R. China
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.
Keywords:Backward stochastic differential equation (BSDE)  dynamically consistent nonlinear evaluation  g-evaluation  dynamic risk measure
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