JI Ronglin, JIANG Long, SHI Xuejun. Some Properties of Convex g-Expectations[J]. Acta Scientiarum Naturalium Universitatis SunYatseni, 2015,54(5):11-14.
JI Ronglin, JIANG Long, SHI Xuejun. Some Properties of Convex g-Expectations[J]. Acta Scientiarum Naturalium Universitatis SunYatseni, 2015,54(5):11-14.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