Nonlinear Doob-Meyer decomposition for general filtration

DOI10.1007/S102550200064MaRDI QIDQ1566053zbMATH OpenOpenAlexFDO

Authors Qingquan Lin

Publication date 28 October 2003

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s102550200064

zbMATH Keywords

\(g\)-supermartingale\(g\)-supersolutionDoob-Meyer decomposition theoremgeneralized backward stochastic differential equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99)

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Cites work

• Backward Stochastic Differential Equations in Finance
• scientific article; zbMATH DE number 3789265 (Why is no real title available?)
• scientific article; zbMATH DE number 1269939 (Why is no real title available?)
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Smallest g-supersolution for BSDE with continuous drift coefficients

Cited in

(3)

• Meixner nonorthogonal filters
• General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales
• The Doob-Meyer Decomposition Revisited

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