Acta Scientiarum Naturalium Universitatis SunYatseniVol. 54, Issue 5, Pages: 11-14(2015)
作者机构:
中国矿业大学理学院,江苏,徐州,221116
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Published:2015,
Published Online:25 September 2015,
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JI Ronglin, JIANG Long, SHI Xuejun. Some Properties of Convex g-Expectations. [J]. Acta Scientiarum Naturalium Universitatis SunYatseni 54(5):11-14(2015)
DOI:
JI Ronglin, JIANG Long, SHI Xuejun. Some Properties of Convex g-Expectations. [J]. Acta Scientiarum Naturalium Universitatis SunYatseni 54(5):11-14(2015)DOI:
Under the basic assumptions on generators,a sandwich theorem for convex g-expectations and concave g-expectations is proven. Furthermore,for some subsets of all convex g-expectations
the existence of their minimal members are proven and the properties of those minimal members are characterized.
关键词
倒向随机微分方程凸g-期望Sandwich定理极小元
Keywords
backward stochastic differential equationconvex g-expectationSandwich theoremminimal member