A general Doob-Meyer-Mertens decomposition for g-supermartingale systems

DOI10.1214/16-EJP4527MaRDI QIDQ287748zbMATH OpenOpenAlexFDO

Authors Bruno Bouchard, Dylan Possamaï, Xiaolu Tan

Publication date 23 May 2016

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

Full work available at URL https://arxiv.org/abs/1505.00597, https://projecteuclid.org/euclid.ejp/1462192627

zbMATH Keywords

backward stochastic differential equations\(g\)-supermartingale systemsDoob-Meyer-Mertens decompositionnonlinear expectations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We provide a general Doob-Meyer decomposition for $g$-supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Meyer decomposition of Mertens (1972) for classical supermartingales, as well as Peng's (1999) version for right-continuous $g$-supermartingales. As examples of application, we prove an optional decomposition theorem for $g$-supermartingale systems, and also obtain a general version of the well-known dual formation for BSDEs with constraint on the gains-process, using very simple arguments.

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