DECOMPOSITION OF OPTIONAL SUPERMARTINGALES

DOI10.1070/SM1982V043N02ABEH002440MaRDI QIDQ3951328zbMATH OpenOpenAlexFDO

Authors L. Galtchouk

Publication date 1982

Published in Mathematics of the USSR-Sbornik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/sm1982v043n02abeh002440

zbMATH Keywords

cadlag supermartingaleRiesz decomposition

Mathematics Subject Classification ID

Sample path properties (60G17) Prediction theory (aspects of stochastic processes) (60G25) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48)

Cited in

(11)

• Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
• On reflection with two-sided jumps
• Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition
• Optional decomposition of optional supermartingales and applications to filtering and finance
• Characteristics and constructions of default times
• Generalized BSDE and reflected BSDE with random time horizon
• Penalization schemes for BSDEs and reflected BSDEs with generalized driver
• Optional strong semimartingale inequalities for the strong Snell envelopes
• Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by optional semimartingales
• Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers
• Reflected BSDEs with default time and irregular obstacles

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