Representation theorem for generators of quadratic BSDEs
Probability
2015-07-21 v5
Abstract
In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in . As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic -expectation.
Cite
@article{arxiv.1405.4789,
title = {Representation theorem for generators of quadratic BSDEs},
author = {Shiqiu Zheng and Shoumei Li},
journal= {arXiv preprint arXiv:1405.4789},
year = {2015}
}
Comments
16 pages. The proof of Lemma 3.3 is rewritten. Comments are welcome