Supermartingale decomposition theorem under \(G\)-expectation
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Publication:1663870
DOI10.1214/18-EJP173zbMath1430.60050arXiv1703.02730OpenAlexW2591938671MaRDI QIDQ1663870
Hanwu Li, Yongsheng Song, Shige Peng
Publication date: 24 August 2018
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.02730
\(G\)-expectation\(\hat{\mathbb{E}}^{g}\)-supermartingale\(\hat{\mathbb{E}}^{g}\)-supermartingale decomposition theorem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)
Related Items (5)
Martingale inequalities under \(G\)-expectation and their applications ⋮ Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle ⋮ Exit times for semimartingales under nonlinear expectation ⋮ Reflected quadratic BSDEs driven by \(G\)-Brownian motions
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