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A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation

   
@article{ECP1025,
	author = {Philippe Briand and François Coquet and Ying Hu and Jean Mémin and Shige Peng},
	title = {A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {5},
	year = {2000},
	keywords = {Backward stochastic differential equations, comparison theorem.},
	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].},
	pages = {no. 13, 101-117},
	issn = {1083-589X},
	doi = {10.1214/ECP.v5-1025},    
        url = {http://ecp.ejpecp.org/article/view/1025}}