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1 results

  • Infinite time interval BSDEs and the convergence of g-martingales

  • Part of
  • Zengjing Chen, Bo Wang
  • Journal:
    Journal of the Australian Mathematical Society. Series A. Pure Mathematics and Statistics / Volume 69 / Issue 2 / October 2000
    Published online by Cambridge University Press:
    09 April 2009, pp. 187-211
    Print publication:
    October 2000
    • Article
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  • In this paper, we first give a sufficient condition on the coefficients of a class of infinite time interval backward stochastic differential equations (BSDEs) under which the infinite time interval BSDEs have a unique solution for any given square integrable terminal value, and then, using the infinite time interval BSDEs, we study the convergence of g-martingales introduced by Peng via a kind of BSDEs. Finally, we study the applications of g-expectations and g-martingales in both finance and economics.