On supermartingale problems

DOI10.1007/978-981-10-4145-7_3MaRDI QIDQ3133719zbMATH OpenOpenAlexFDO

Authors Shigeo Kusuoka

Publication date 5 February 2018

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-981-10-4145-7_3

zbMATH Keywords

stochastic differential equationmartingale problemsupermartingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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• A representation for supermartingales
• Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
• A Construction Scheme of the Minimal Dominating Supermartingale arising in the Discrete Parameter Optimal Stopping Problems
• On representations of the set of supermartingale measures and applications in discrete time
• Some related problems of SVO supermartingales.

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