A CONVERSE COMPARISON THEOREM FOR BSDES AND RELATED PROPERTIES OF g – EXPECTATION

@inproceedings{Briand1999ACC,
  title={A CONVERSE COMPARISON THEOREM FOR BSDES AND RELATED PROPERTIES OF g – EXPECTATION},
  author={Philippe Briand},
  year={1999}
}
In [1], Z. Chen proved that, if for each terminal condition ξ, the solution of the BSDE associated to the standard parameter (ξ, g1) is equal at time t = 0 to the solution of the BSDE associated to (ξ, g2) then we must have g1 ≡ g2. This result yields a natural question: what happens in the case of an inequality in place of an equality? In this paper, we try to investigate this question and we prove some properties of “g–expectation”, notion introduced by S. Peng in [8]. 
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