Nonlinear decomposition of Doob-Meyer's type for continuous \(g\)-supermartingale with uniformly continuous coefficient (Q1714741)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Nonlinear decomposition of Doob-Meyer's type for continuous g-supermartingale with uniformly continuous coefficient |
scientific article; zbMATH DE number 7010734
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Nonlinear decomposition of Doob-Meyer's type for continuous \(g\)-supermartingale with uniformly continuous coefficient |
scientific article; zbMATH DE number 7010734 |
Statements
Nonlinear decomposition of Doob-Meyer's type for continuous \(g\)-supermartingale with uniformly continuous coefficient (English)
0 references
1 February 2019
0 references
Summary: We prove that a continuous \(g\)-supermartingale with uniformly continuous coeffcient \(g\) on finite or infinite horizon, is a \(g\)-supersolution of the corresponding backward stochastic differential equation. It is a new nonlinear Doob-Meyer decomposition theorem for the \(g\)-supermartingale with continuous trajectory.
0 references
