A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation
A Converse Comparison Theorem for BSDEs and Related Properties of g-Expectation
In [1], Z. Chen proved that, if for each terminal condition $\xi$, the solution of the BSDE associated to the standard parameter $(\xi, g_1)$ is equal at time $t=0$ to the solution of the BSDE associated to $(\xi, g_2)$ then we must have $g_1\equiv g_2$. This result yields a natural …