A comonotonic theorem for backward stochastic differential equations in $L^p$ and its applications
We study backward stochastic differential equations (BSDEs) under weak assumptions on the data. We obtain a comonotonic theorem for BSDEs in $L^p,\quad 1, 1 < p ≤ 2$. As applications of this theorem, we study the relation between Choquet expectations and minimax expectations and the relation between Choquet expectations and generalized Peng’s $g$-expectations. These results generalize the known results of Chen et al.
English version (Springer): Ukrainian Mathematical Journal 64 (2012), no. 6, pp 857-874.
Citation Example: Zong Z.-J. A comonotonic theorem for backward stochastic differential equations in $L^p$ and its applications // Ukr. Mat. Zh. - 2012. - 64, № 6. - pp. 752-765.