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2000 A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation
Philippe Briand, François Coquet, Ying Hu, Jean Mémin, Shige Peng
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Electron. Commun. Probab. 5: 101-117 (2000). DOI: 10.1214/ECP.v5-1025

Abstract

In [1], Z. Chen proved that, if for each terminal condition $\xi$, the solution of the BSDE associated to the standard parameter $(\xi, g_1)$ is equal at time $t=0$ to the solution of the BSDE associated to $(\xi, g_2)$ then we must have $g_1\equiv g_2$. This result yields a natural question: what happens in the case of an inequality in place of an equality? In this paper, we try to investigate this question and we prove some properties of ``$g$-expectation'', notion introduced by S. Peng in [8].

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Philippe Briand. François Coquet. Ying Hu. Jean Mémin. Shige Peng. "A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation." Electron. Commun. Probab. 5 101 - 117, 2000. https://doi.org/10.1214/ECP.v5-1025

Information

Accepted: 23 May 2000; Published: 2000
First available in Project Euclid: 2 March 2016

zbMATH: 0966.60054
MathSciNet: MR1781845
Digital Object Identifier: 10.1214/ECP.v5-1025

Subjects:
Primary: 60H10
Secondary: 60H30

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