Abstract
This paper establishes a limit theorem for solutions of backward stochastic differential equations (BSDEs). By this limit theorem, this paper proves that, under the standard assumption g(t,y,0) ≡ 0, the generator g of a BSDE can be uniquely determined by the corresponding g-expectation ɛ g; this paper also proves that if a filtration consistent expectation ɛ can be represented as a g-expectation ɛ g, then the corresponding generator g must be unique.
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Jiang, L. Limit theorem and uniqueness theorem of backward stochastic differential equations. SCI CHINA SER A 49, 1353–1362 (2006). https://doi.org/10.1007/s11425-006-2024-2
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DOI: https://doi.org/10.1007/s11425-006-2024-2