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由Lvy过程驱动的BSDE定义的一般非线性期望(英文)
李标,徐静,张波
中南财经政法大学新华金融保险学院;重庆大学经济与管理学院;中国人民大学统计学院;

摘要:

本文研究了平凡可积随机变量的一类非线性期望f-期望.利用陈增敬推广g-期望的方法,扩张了f-期望的定义空间.

关键词: BSDE 非线性期望 f-期望 Lvy过程

DOI：

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基金项目:Supported by the Revitalization Program of Zhongnan University of Economics and Law; NSFC(10771214); MEHSSF(09YJCZH122)

LI Biao,XU Jing,ZHANG Bo

LI Biao1,XU Jing2,ZHANG Bo3(1.Xinhua School of Finance and Insurance,Zhongnan University of Economics and Laws,Wuhan 430073,China)(2.School of Economics and Business Administration,Chongqing University,Chongqing 400030,China)(3.School of Statistics,Renmin University of China,Beijing 100872,China)

Abstract:

In this paper,we study f-expectation related to the solution of a BSDE driven by L'evy processes.By using the same method given by Chen Zengjing for the general g-expectation,we expand the definition space of the f-expectation.

Key words: BSDE non-linear expectation f-expectation L'evy processes