Supermartingale decomposition theorem under G-expectation

DOI10.1214/18-EJP173MaRDI QIDQ1663870zbMATHOpenAlexFDO

Authors Hanwu Li, Shige Peng, Yongsheng Song

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

zbMATH Keywords

\(G\)-expectation\(\hat{\mathbb{E}}^{g}\)-supermartingale\(\hat{\mathbb{E}}^{g}\)-supermartingale decomposition theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: The objective of this paper is to establish the decomposition theorem for supermartingales under the $G$-framework. We first introduce a $g$-nonlinear expectation via a kind of $G$-BSDE and the associated supermartingales. We have shown that this kind of supermartingales have the decomposition similar to the classical case. The main ideas are to apply the uniformly continuous property of $$, the representation of the solution to $G$-BSDE and the approximation method via penalization.

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Cited in

(9)

• scientific article; zbMATH DE number 2145708 (Why is no real title available?)
• Exit times for semimartingales under nonlinear expectation
• Martingale inequalities under \(G\)-expectation and their applications
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• BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem for \({\mathcal E}\)-supermartingales in \(L^p\)
• On a generalized optional decomposition theorem

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