Shandong University

output

19962026

Showing 2008 · math.PRShow all

4 papers · 2 filters

math.PR2008★ 1 cited

Stationary Solutions of SPDEs and Infinite Horizon BDSDEs with Non-Lipschitz Coefficients

Qi Zhang, Huaizhong Zhao

We prove a general theorem that the $L_{ρ}^{2} (R^{d}; R^{1}) \otimes L_{ρ}^{2} (R^{d}; R^{d})$ valued solution of an infinite horizon backward doubl…

math.PR2008★ 2 cited

A uniqueness theorem for solution of BSDEs

Guangyan Jia

In this note, we prove that if $g$ is uniformly continuous in $z$ , uniformly with respect to $(\oo,t)$ and independent of $y$ , the solution to the backward stochastic differential…

math.PR2008

Jensen's Inequality for g-Convex Function under g-Expectation

Guangyan Jia, Shige Peng

A real valued function defined on} $R$ {\small is called} $g$ {\small --convex if it satisfies the following \textquotedblleft generalized Jensen's inequality\textquotedblrig…

math.PR2008★ 112 cited

Representation of the penalty term of dynamic concave utilities

Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin

In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectat…