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Shoumei Li

Publications and source records attributed to Shoumei Li.

5 recordsLinked to original sources
arXiv2017

Representation theorems for generators of Reflected BSDEs with continuous and linear-growth generators

In this paper, we establish a local representation theorem for generators of reflected backward stochastic differential equations (RBSDE), whose generators are continuous with linear growth. It generalizes some known representation theorems for generators of backward stochastic differential equations (BSDE). As some applications, a general converse comparison theorem for RBSDE is obtained and some properties of RBSDE are discussed.

math.PR↗
arXiv2016

On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case

A system of dynamically consistent nonlinear evaluation (${\cal{F}}$-evaluation) provides an ideal characterization for the dynamical behaviors of risk measures and the pricing of contingent claims. The purpose of this paper is to study the representation for the ${\cal{F}}$-evaluation by the solution of a backward stochastic differential equation (BSDE). Under a general domination condition, we prove that any ${\cal{F}}$-evaluation can be represented by the solution of a BSDE with a generator which is Lipschitz in $y$ and uniformly continuous in $z$.

math.PR↗
arXiv2015

Representation theorem for generators of quadratic BSDEs

In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in $z$. As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic $g$-expectation.

math.PR↗