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

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.

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Year of publication:	2015
Authors:	Zheng, Shiqiu ; Li, Shoumei
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 197-205
Publisher:	Elsevier
Subject:	Backward stochastic differential equation \| Representation theorem of generator \| Converse comparison theorem \| Convex growth

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189353