Representation theorems for generators of BSDEs and the extended g-expectations in probability spaces with general filtration

Panyu Wu; Guodong Zhang

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arXiv · 1912.04587

Representation theorems for generators of BSDEs and the extended g-expectations in probability spaces with general filtration

Panyu Wu·Guodong Zhang

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Abstract

In this paper, we establish representation theorems for generators of backward stochastic differential equations (BSDEs in short) in probability spaces with general filtration from the perspective of transposition solutions of BSDEs. As applications, we give a converse comparison theorem for generators of BSDEs and also some characterizations to positive homogeneity, independence of y, subadditivity and convexity of generators of BSDEs. Then, we extend concepts of g-expectations and conditional g-expectations to the probability spaces with general filtration and investigate their properties.

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BibTeX RIS

Panyu Wu, Guodong Zhang. 2019-12-10. Representation theorems for generators of BSDEs and the extended g-expectations in probability spaces with general filtration. https://arxiv.org/abs/1912.04587

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