Some norm estimates for semimartingales

DOI10.1214/EJP.v18-2406zbMath1288.60054arXiv1107.4020OpenAlexW2142955937MaRDI QIDQ389016

Triet Pham, Jianfeng Zhang

Publication date: 17 January 2014

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

Full work available at URL: https://arxiv.org/abs/1107.4020

zbMATH Keywords

semimartingale\(G\)-expectationnonlinear expectationdoubly reflected backward stochastic differential equationsDoob-Meyer decompostitionMokobodzki's conditionprogressively measurable processquasimartingalesecond-order backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

Related Items (6)

Supermartingale decomposition theorem under \(G\)-expectation ⋮ Wellposedness of second order reflected BSDEs: A new formulation ⋮ Exit times for semimartingales under nonlinear expectation ⋮ A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time ⋮ Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs ⋮ Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers

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