A General Converse Comparison Theorem for Backward Stochastic Differential Equation with Non-lipschitz Coefficient  

作　　者：LU Min WANG Zeng-wu 

机构地区：[1]Deparmtment of Applied Mathematics, Nanjing Audit University, Nanjing 210029, China [2]Academy of Math and System Sciences, CAS, Beijing 100080, China

出　　处：《Chinese Quarterly Journal of Mathematics》2009年第4期568-573,共6页数学季刊（英文版）

基　　金：Foundation item： Supported by the＇Natured Science Foundation of the Edudation Department of Jiangsu Province（06KJD110092）

摘　　要：In this article, we first introduce g-expectation via the solution of backward stochastic differential equation（BSDE in short） with non-Lipschitz coefficient, and give the properties of g-expectation, then we establish a general converse comparison theorem for backward stochastic differential equation with non-Lipschitz coefficient.

关 键 词：backward stochastic differential equation with non-Lipschitz coefficient GENERATOR G-EXPECTATION converse comparison theorem. 

分 类 号：O211.6[理学—概率论与数理统计] O211.63[理学—数学]