Acta mathematica scientia,Series A

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Comonotonic Theorems of BSDEs with Stochastic Generators

Zhang Hui   

  1. Department of Statistics and Mathematics, Shan dong University of Finance, Jinan 250014
  • Received:2006-01-10 Revised:2007-07-28 Online:2008-02-25 Published:2008-02-25
  • Contact: Zhang Hui

Abstract: In this paper, the authors explore the solution (y,z) of BSDEs via the theory of Malliavin derivative. Some methods of comparing part z have been given. And the authors point out that the comonotonic theorems for part z given by Zengjing Chen et al (see [3]) aren't correct when the generators of BSDEs are stochastic. Thus some special conditions, under which the comonotonic theorems for part z are correct even the generators of BSDEs are stochastic, are studied. Then, applying the comonotonic theorems, the authors study the additivity of a class of conditional g-expectations and Choquet integral represention theorems.

Key words: BSDE, Malliavin derivative, g -expectation, Choquet integral.

CLC Number: 

  • 60H10
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