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Dynamically Consistent Nonlinear Evaluations with Their Generating Functions in L^p
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作者 Feng HU 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2013年第4期815-832,共18页
In this paper, we study dynamically consistent nonlinear evaluations in Lp (1 〈 p 〈 2). One of our aim is to obtain the following result: under a domination condition, an Ft-consistent evaluation is an Sg-evaluat... In this paper, we study dynamically consistent nonlinear evaluations in Lp (1 〈 p 〈 2). One of our aim is to obtain the following result: under a domination condition, an Ft-consistent evaluation is an Sg-evaluation in Lp. Furthermore, without the assumption that the generating function g(t, w, y, z) is continuous with respect to t, we provide some useful characterizations of an εg-evaluation by g and give some applications. These results include and extend some existing results. 展开更多
关键词 Backward stochastic differential equation (BSDE) dynamically consistent nonlinear evaluation g-evaluation dynamic risk measure
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