One existence integral condition was obtained for the adapted solution of the general backward stochastic differential equations(BSDEs). Then by solving the integral constraint condition, and using a limit procedure, a new approach method is proposed and the existence of the solution was proved for the BSDEs if the diffusion coefficients satisfy the locally Lipschitz condition. In the special case the solution was a Brownian bridge. The uniqueness is also considered in the meaning of "F0-integrable equivalent class" . The new approach method would give us an efficient way to control the main object instead of the "noise".
In this paper, we obtain that a convex g evaluation can be dominated by the corresponding Choquet evaluation if and only if g has the form g(t, y, z) = μ t y + h(t, z), where h(t, z) is positively homogeneous and subadditive with respect to z.
Let SH be a sub-fractional Brownian motion with index 0 < H < 1/2.In this paper we study the existence of the generalized quadratic covariation [f(SH),SH](W) defned by[f(SH), SH](W)t= limε→01/ε2H∫t0{f(SHs+ε)-f(SHs)}(SHs+ε-SHs)ds2H,provided the limit exists in probability, where x → f(x) is a measurable function. We construct a Banach space ■ of measurable functions such that the generalized quadratic covariation exists in L2 provided f ∈ H.Moreover, the generalized Bouleau-Yor identity takes the form ∫Rf(x)ψH(dx, t) =(2-22H-1)[f(SH), SH](W)t for all f∈■, where ψH(x, t) is the weighted local time of SH. This allows us to write the generalized It's formula for absolutely continuous functions with derivative belonging to
In this paper,we investigate the problem:How big are the increments of G-Brownian motion.We obtain the Csrg and R′ev′esz’s type theorem for the increments of G-Brownian motion.As applications of this result,we get the law of iterated logarithm and the Erds and R′enyi law of large numbers for G-Brownian motion.Furthermore,it turns out that our theorems are natural extensions of the classical results obtained by Csrg and R′ev′esz(1979).
