Martingale representation theorem for the \(G\)-expectation

DOI10.1016/j.spa.2010.10.006zbMath1228.60070arXiv1001.3802OpenAlexW2137282451WikidataQ57635916 ScholiaQ57635916MaRDI QIDQ550131

Jianfeng Zhang, Nizar Touzi, Halil Mete Soner

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.3802

zbMATH Keywords

dualitysingular measuremartingale representation\(G\)-expectationnonlinear expectationstochastic target problem\(G\)-martingale2BSDEsecond order backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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