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A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation
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Philippe Briand, Université Rennes 1
François Coquet, Université Rennes 1
Ying Hu, Université Rennes 1
Jean Mémin, Université Rennes 1
Shige Peng, Shandong University
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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 $g_1equiv g_2$. 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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Full text: PDF
Pages: 101-117
Published on: May 23, 2000
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Electronic Communications in Probability. ISSN: 1083-589X |
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