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A Relationship Between the Conditional g-Evaluation System and the Generator g and Its Applications

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Abstract

In this paper, under the most elementary conditions on a backward stochastic differential equation (BSDE for short) introduced by Peng, a new relationship between the conditional g-evaluation system and the generator g of BSDE is obtained in the sense of "process", based on some recent results of Jiang. Moreover, as applications, two converse comparison theorems and two uniqueness theorems on the generators of BSDEs are proved.

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Authors and Affiliations

  1. College of Sciences, China University of Mining and Technology, Xuzhou, 221008, P. R. China

    Sheng Jun Fan

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  1. Sheng Jun Fan
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Correspondence to Sheng Jun Fan.

Additional information

Supported byNational Natural Science Foundation of China (N0.10671205) and Youth Foundation of China University of Mining and Technology. (No. 2006A041)

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Fan, S.J. A Relationship Between the Conditional g-Evaluation System and the Generator g and Its Applications. Acta Math Sinica 23, 1427–1434 (2007). https://doi.org/10.1007/s10114-007-0943-7

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  • DOI: https://doi.org/10.1007/s10114-007-0943-7

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