Supermartingale decomposition theorem under G-expectation

DOI10.1214/18-EJP173zbMATH Open1430.60050arXiv1703.02730OpenAlexW2591938671MaRDI QIDQ1663870FDOQ1663870

Authors: Hanwu Li, Shige Peng, Yongsheng Song 

Publication date: 24 August 2018

Published in: Electronic Journal of Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1703.02730

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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)

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Cited In (9)

• Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
• On a generalized optional decomposition theorem
• Title not available (Why is that?)
• Martingale inequalities under \(G\)-expectation and their applications
• BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem for \({\mathcal E}\)-supermartingales in \(L^p\)
• Reflected quadratic BSDEs driven by \(G\)-Brownian motions
• Exit times for semimartingales under nonlinear expectation

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