A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
From MaRDI portal
Publication:287748
DOI10.1214/16-EJP4527zbMath1343.60050arXiv1505.00597OpenAlexW265981540MaRDI QIDQ287748
Dylan Possamaï, Xiaolu Tan, Bruno Bouchard
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
backward stochastic differential equations\(g\)-supermartingale systemsDoob-Meyer-Mertens decompositionnonlinear expectations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)
Related Items (10)
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations ⋮ Perron’s method for viscosity solutions of semilinear path dependent PDEs ⋮ Pollution Regulation for Electricity Generators in a Transmission Network ⋮ A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ Dynamic programming approach to reflected backward stochastic differential equations ⋮ On the strict value of the non-linear optimal stopping problem ⋮ European Options in a Nonlinear Incomplete Market Model with Default ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ Optimal stopping with \(f\)-expectations: the irregular case
This page was built for publication: A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
