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Representation theorems for generators of BSDEs with monotonic and convex growth generators

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  • Zheng, Shiqiu
  • Li, Shoumei

Abstract

In this paper, we establish representation theorems for generators of backward stochastic differential equations (BSDEs in short), whose generators are monotonic and convex growth in y and quadratic growth in z. We also obtain a converse comparison theorem for such BSDEs.

Suggested Citation

  • Zheng, Shiqiu & Li, Shoumei, 2015. "Representation theorems for generators of BSDEs with monotonic and convex growth generators," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 197-205.
    • Handle: RePEc:eee:stapro:v:97:y:2015:i:c:p:197-205
    DOI: 10.1016/j.spl.2014.12.002
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    References listed on IDEAS

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    1. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
    2. Jiang, Long, 2005. "Representation theorems for generators of backward stochastic differential equations and their applications," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 1883-1903, December.
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    Cited by:

    1. Xiao, Lishun & Fan, Shengjun, 2017. "A representation theorem for generators of BSDEs with general growth generators in y and its applications," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 297-305.
    2. Zhou, Guangshuo & Du, Fengjiao & Fan, Shengjun, 2024. "Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions," Statistics & Probability Letters, Elsevier, vol. 205(C).
    3. Dejian Tian & Xunlian Wang, 2023. "Dynamic star-shaped risk measures and $g$-expectations," Papers 2305.02481, arXiv.org.

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