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

DOI10.1214/16-EJP4527zbMATH Open1343.60050arXiv1505.00597OpenAlexW265981540MaRDI QIDQ287748FDOQ287748

Authors: Bruno Bouchard, Dylan Possamaï, Xiaolu Tan 

Publication date: 23 May 2016

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

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.

Full work available at URL: https://arxiv.org/abs/1505.00597

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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)

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