Acta mathematica scientia,Series A
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Zhang Hui
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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.
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Zhang Hui. Comonotonic Theorems of BSDEs with Stochastic Generators[J].Acta mathematica scientia,Series A, 2008, 28(1): 116-127.
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http://121.43.60.238/sxwlxbA/EN/Y2008/V28/I1/116
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