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Dual Representation as Stochastic Differential Games of Backward Stochastic Differential Equations and Dynamic Evaluations

Shanjian Tang
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Abstract

In this Note, assuming that the generator is uniform Lipschitz in the unknown variables, we relate the solution of a one dimensional backward stochastic differential equation with the value process of a stochastic differential game. Under a domination condition, a filtration-consistent evaluations is also related to a stochastic differential game. This relation comes out of a min-max representation for uniform Lipschitz functions as affine functions. The extension to reflected backward stochastic differential equations is also included.

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Shanjian Tang. 2006-02-15. Dual Representation as Stochastic Differential Games of Backward Stochastic Differential Equations and Dynamic Evaluations. https://arxiv.org/abs/math/0602323

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