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


 
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1. Title Title of document A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation
 
2. Creator Author's name, affiliation, country Philippe Briand; Université Rennes 1
 
2. Creator Author's name, affiliation, country François Coquet; Université Rennes 1
 
2. Creator Author's name, affiliation, country Ying Hu; Université Rennes 1
 
2. Creator Author's name, affiliation, country Jean Mémin; Université Rennes 1
 
2. Creator Author's name, affiliation, country Shige Peng; Shandong University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Backward stochastic differential equations, comparison theorem.
 
3. Subject Subject classification 60H10, 60H30
 
4. Description 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].
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2000-05-23
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1025
 
10. Identifier Digital Object Identifier 10.1214/ECP.v5-1025
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 5
 
12. Language English=en
 
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