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ArticleA general converse comparison theorem for backward stochastic differential equations

François Coquet2001

Article2001

A general converse comparison theorem for backward stochastic differential equations

François Coquet · Ying Hu · Jean Mémin · Shige Peng A

37 citations·0/0 files stored·Comptes Rendus de l Académie des Sciences - Series I - Mathematics

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 1992A Generalized dynamic programming principle and hamilton-jacobi-bellman equation 2002Filtration-consistent nonlinear expectations and related g-expectations 2000A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation 1998A property of backward stochastic differential equations

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2005Representation theorems for generators of backward stochastic differential equations and their applications 2005On Jensen’s inequality for g-expectation and for nonlinear expectation

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Year2001

Typearticle

Published2001-09-01

VenueComptes Rendus de l Académie des Sciences - Series I - Mathematics

ISSN-L0764-4442

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0764-4442(01)02062-6

openalex_workW2023959339

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