Infinite horizon BSDEs under consistent nonlinear expectations

Infinite horizon BSDEs under consistent nonlinear expectations

This paper considers backward stochastic differential equations (BSDEs for short) on the infinite horizon under consistent nonlinear expectations which are dominated by consistent sublinear expectations. We derive the existence and uniqueness result by discretization and approximation method. Beside...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Bulletin des sciences mathématiques 2022-02, Vol.174, p.103073, Article 103073
Hauptverfasser: Hu, Mingshang, Sun, Yifan, Wang, Falei
Format: Artikel
Sprache:eng
Schlagworte:
[formula omitted]-expectations
Consistent nonlinear expectations
Ergodic BSDEs
Infinite horizon BSDEs
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This paper considers backward stochastic differential equations (BSDEs for short) on the infinite horizon under consistent nonlinear expectations which are dominated by consistent sublinear expectations. We derive the existence and uniqueness result by discretization and approximation method. Besides, we show the existence of the solution of Markovian ergodic BSDEs under G˜-expectations and state some applications.
ISSN:0007-4497
1952-4773
DOI:10.1016/j.bulsci.2021.103073