Representation theorem for generators of BSDEs driven by G-Brownian motion and its applications
Kun Heand, Mingshang Hu
TL;DR
This paper establishes a representation theorem for the generators of backward stochastic differential equations driven by G-Brownian motion, enabling new insights into nonlinear expectations and comparison theorems in this framework.
Contribution
It introduces a novel representation theorem for G-BSDE generators and applies it to derive converse comparison theorems and related results for nonlinear expectations.
Findings
Representation theorem for G-BSDE generators
Converse comparison theorem for G-BSDEs
Equivalent results for nonlinear expectations
Abstract
We obtain a representation theorem for the generators of BSDEs driven by G-Brownian motions, and then we use the representation theorem to get a converse comparison theorem for G-BSDEs and some equivalent results for nonlinear expectations generated by G-BSDEs.
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Taxonomy
TopicsStochastic processes and financial applications · Economic theories and models · Risk and Portfolio Optimization