{
  "id": "math/0602323",
  "version": "v1",
  "published": "2006-02-15T07:17:02.000Z",
  "updated": "2006-02-15T07:17:02.000Z",
  "title": "Dual Representation as Stochastic Differential Games of Backward Stochastic Differential Equations and Dynamic Evaluations",
  "authors": [
    "Shanjian Tang"
  ],
  "comment": "8 pages",
  "categories": [
    "math.PR",
    "math.OC"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2006-02-15T07:17:02.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H30",
      "49L20"
    ],
    "keywords": [
      "stochastic differential game",
      "dual representation",
      "dynamic evaluations",
      "dimensional backward stochastic differential equation",
      "reflected backward stochastic differential equations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 8,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2006math......2323T"
    }
  }
}