A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
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Publication:287748
DOI10.1214/16-EJP4527zbMath1343.60050arXiv1505.00597OpenAlexW265981540MaRDI QIDQ287748
Dylan Possamaï, Xiaolu Tan, Bruno Bouchard
Publication date: 23 May 2016
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.00597
backward stochastic differential equations\(g\)-supermartingale systemsDoob-Meyer-Mertens decompositionnonlinear expectations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)
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