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A Property of g-Expectation

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Abstract

This paper proves that, under the hypothesis g(t, 0, 0)≡0 and some natural assumptions, the generator g of a backward stochastic differential equation can be uniquely determined by the corresponding g-expectations with all terminal conditions. The main result of this paper also confirms and extends Peng Shige’s conjecture.

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Authors and Affiliations

  1. School of Mathematics and System Sciences, Shandong University, Jinan 250100, P. R. China

    Long Jiang

  2. Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, P. R. China

    Long Jiang

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  1. Long Jiang
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Correspondence to Long Jiang.

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Supported by the National Natural Science Foundation of China (No. 10131030)

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Jiang, L. A Property of g-Expectation. Acta Math Sinica 20, 769–778 (2004). https://doi.org/10.1007/s10114-004-0377-4

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  • DOI: https://doi.org/10.1007/s10114-004-0377-4

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