Dual Representation as Stochastic Differential Games of Backward Stochastic Differential Equations and Dynamic Evaluations

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dc.creatorTang, Shanjian
dc.date2006-02-15
dc.date.accessioned2026-07-07T07:03:27Z
dc.date.available2026-07-07T07:03:27Z
dc.descriptionIn this Note, assuming that the generator is uniform Lipschitz in the unknown variables, we relate the solution of a one dimensional backward stochastic differential equation with the value process of a stochastic differential game. Under a domination condition, a filtration-consistent evaluations is also related to a stochastic differential game. This relation comes out of a min-max representation for uniform Lipschitz functions as affine functions. The extension to reflected backward stochastic differential equations is also included.
dc.description8 pages
dc.identifierhttps://arxiv.org/abs/math/0602323
dc.identifierhttp://arxiv.org/abs/math/0602323
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/108976
dc.subjectProbability
dc.subjectOptimization and Control
dc.subject60H10; 60H30; 49L20
dc.titleDual Representation as Stochastic Differential Games of Backward Stochastic Differential Equations and Dynamic Evaluations
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