Continuous properties of \(g\)-martingales (Q5933950): Difference between revisions

Using backward stochastic differential equations, \textit{S. Peng} [Adv. Math., Beijing 26, No. 2, 97-112 (1997; Zbl 0906.60047) and in: Backward stochastic differential equations. Pitman Res. Notes Math. Ser. 364, 141-159 (1997; Zbl 0892.60066)] has introduced the notions of \(g\)-expectation, conditional \(g\)-expectation and \(g\)-martingales, and he has shown that, except for linearity, many basic properties of the usual notions of expectation, conditional expectation and martingales are preserved; in particular, a general nonlinear Doob-Meyer decomposition result holds true for \(g\)-supermartingales [\textit{S. Peng}, Probab. Theory Relat. Fields 113, No. 4, 473-499 (1999; Zbl 0953.60059)]. The authors devote the present paper to the study of continuity properties of the trajectories of square integrable \(g\)-martingales and \(g\)-supermartingales, and they present also an optional stopping theorem. The main tool they develop for their approach, consists in a generalization of the classical upcrossing theorem into the framework of \(g\)-supermartingales.