We study backward stochastic differential equations (BSDE) under weak assumptions on the data. We obtain a comonotonic theorem for BSDE in L p; 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 well-known results of Chen et al.
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Published in Ukrains’kyi Matematychnyi Zhurnal, Vol. 64, No. 6, pp. 752–765, June, 2012.
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Zong, ZJ. A comonotonic theorem for backward stochastic differential equations in L p and its applications. Ukr Math J 64, 857–874 (2012). https://doi.org/10.1007/s11253-012-0684-3
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DOI: https://doi.org/10.1007/s11253-012-0684-3