A comonotonic theorem for backward stochastic differential equations in L p and its applications
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We study backward stochastic differential equations (BSDE) under weak assumptions on the data. We obtain a comonotonic theorem for BSDE in L p ; 1 < p ≤ 2: As applications of this theorem, we study the relation between Choquet expectations and minimax expectations and the relation between Choquet expectations and generalized Peng’s g-expectations. These results generalize the well-known results of Chen et al.
KeywordsStochastic Differential Equation Backward Stochastic Differential Equation Stochastic Differential Game Null Subset Backward Stochastic Differential Equation
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- 17.S. Peng, “Backward SDE and related g-expectation,” Pitman Res. Notes in Math. Ser., Vol. 364, N. El Karoui and L. Mazliak (editors), Backward Stochastic Differential Equations, Longman, Harlow (1997), pp. 141–159.Google Scholar