Representation theorems for generators of BSDEs and the extended g-expectations in probability spaces with general filtration

Journal of Mathematical Analysis and Applications(2020)

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摘要
In this paper, we establish representation theorems for generators of backward stochastic differential equations (BSDEs in short) in probability spaces with general filtration from the perspective of transposition solutions of BSDEs. As applications, we give a converse comparison theorem for generators of BSDEs and also some characterizations to positive homogeneity, independence of y, subadditivity and convexity of generators of BSDEs. Then, we extend concepts of g-expectations and conditional g-expectations to the probability spaces with general filtration and investigate their properties.
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关键词
Filtration,Backward stochastic differential equations,Representation theorem,Converse comparison theorem,g-expectation
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