重庆理工大学学报（自然科学版）2011，Vol.25Issue(5)：114-120,7.
共单调(次)可加g-估价的一个充要条件
A Sufficient and Necessary Condition for the g-Evaluation with Comonotonic(Subadditivity)Additivity
摘要
Abstract
It studies the properties of g - evaluation with comonotonic additivity and comonotonic sub-additivity. Under the assumption that the dimension of the Brownian motion is one for the deterministic generator g,it gives a sufficient and necessary condition for the g -evaluation with comonotonic subad-ditivity about a special class of random variables. Furthermore, it proves that the g - evaluation satisfies comonotonic additivity if and only if the generator g is linear with respect to y and z.关键词
倒向随机微分方程/g-估价/共单调可加/共单调次可加Key words
backward stochastic differential equation/ g - evaluation/ comonotonic additivity/ com-onotonic subadditivity分类
数理科学引用本文复制引用
孙倩怡,江龙,黄银利,绪玉珍..共单调(次)可加g-估价的一个充要条件[J].重庆理工大学学报（自然科学版）,2011,25(5):114-120,7.基金项目
国家自然科学基金资助项目(10971220) （10971220）
全国优秀博士学位论文作者专项基金资助项目(200919) （200919）
江苏省"青蓝工程"基金资助项目. （）
