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| Keywords | |
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Backward stochastic differential equation |
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g-expectation |
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uncertainty aversion. |
| Authors | |
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Lin Xiangyun |
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Wang Xiangrong |
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Zhang Rui |
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A Backward Stochastic Differential Equations Based on Infinite Horizon and Its Application
Lin Xiangyun,Wang Xiangrong, Zhang Rui
College of Science, Shandong University of Science and technology; College of Information Science and Engineering, Shandong University of Science and technology
This paper discusses the existence and uniqueness of the solutions of a backward stochastic differential equations in infinite horizon. By the solution, we define a nonlinear g-expectation and discuss its application in finance and economics.