Skip to main content
SpringerLink
Log in

Representation theorems for generators of BSDEs in L p spaces

  • Published:
Acta Mathematicae Applicatae Sinica, English Series Aims and scope Submit manuscript

Abstract

In this paper, we prove that the generator g of a class of backward stochastic differential equations (BSDEs) can be represented by the solutions of the corresponding BSDEs at point (t, y, z), when the terminal data is in L p spaces, for 1 < p ≤ 2.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. Briand, P., Coquet, F., Hu, Y., Mémin, J., Peng, S. A converse comparison theorem for BSDEs and related properties of g-expectation. Electon. Comm. Probab., 5: 101–117 (2000)

    MATH  Google Scholar 

  2. Briand, P., Delyon, B., Hu, Y., Pardoux, E., Stoica, L. L p solutions of backward stochastic differential equations. Stoch. Proc. Appl., 108: 109–129 (2003)

    Article  MathSciNet  MATH  Google Scholar 

  3. El Karoui, N., Peng, S., Quenez, M.C. Backward stochastic differential equations in finance. Math. Finance, 7(1): 1–71 (1997)

    Article  MathSciNet  MATH  Google Scholar 

  4. Hewitt, E., Stromberg, K.R. Real and Abstract Analysis. Spring-Verlag, New York, 1978

    Google Scholar 

  5. Jiang, L. Representation theorems for generators of backward stochastic differential equations. C.R. Acad. Sci. Paris. Ser., I 340: 161–166 (2005)

    Article  MATH  Google Scholar 

  6. Jiang, L. Representation theorems for generators of backward stochastic differential equations and their applications. Stoch. Proc. Appl., 115: 1883–1903 (2005)

    Article  MATH  Google Scholar 

  7. Pardoux, E., Peng, S. Adapted solution of a backward stochastic differential equation. Systems Control Lett., 14: 55–61 (1990)

    Article  MathSciNet  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. School of Mathematics, Shandong University, Jinan, 250100, China

    Li Song, Feng Hu & Zeng-jing Chen

  2. School of Finance, Shandong Polytechnic University, Jinan, 250100, China

    Li Song

  3. Department of Mathematics, Qufu Normal University, Qufu, 273165, China

    Feng Hu

  4. Department of Financial Engineering, Ajou University, Suwon, 443749, Korea

    Zeng-jing Chen

Authors
  1. Li Song
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Feng Hu
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Zeng-jing Chen
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Li Song.

Additional information

Supported by the National Natural Science Foundation of China (No. 10921101), WCU (World Class University) program through the National Research Foundation of Korea funded by the Ministry of Education, Science and Technology (No. R31-20007), the National Natural Science Foundation of China (No. 11171179) and the Natural Science Foundation of Shandong Province (No. ZR2009AL015).

Rights and permissions

Reprints and permissions

About this article

Cite this article

Song, L., Hu, F. & Chen, Zj. Representation theorems for generators of BSDEs in L p spaces. Acta Math. Appl. Sin. Engl. Ser. 28, 255–264 (2012). https://doi.org/10.1007/s10255-012-0143-9

Download citation

  • Received:

  • Revised:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10255-012-0143-9

Keywords

2000 MR Subject Classification

Search

Navigation