Uniqueness of the representation for G-martingales with finite variation

DOI10.1214/EJP.V17-1890MaRDI QIDQ428638zbMATHOpenAlexFDO

Authors Yongsheng Song

Publication date 22 June 2012

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

Full work available at URL https://arxiv.org/abs/1012.1913

zbMATH Keywords

representation theoremuniquenessfinite variationG-expectationG-martingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Abstract: Our purpose is to prove the uniqueness of the representation for $G$-martingales with finite variation.

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(27)

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• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
• Asymptotic estimates for the solution of stochastic differential equations driven by G-Brownian motion
• Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
• \(G\)-neutral stochastic differential equations with variable delay and non-Lipschitz coefficients
• \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction
• Improved results on stabilization of \(G\)-SDEs by feedback control based on discrete-time observations
• A stochastic recursive optimal control problem under the G-expectation framework
• scientific article; zbMATH DE number 1420712 (Why is no real title available?)
• Path independence of additive functionals for stochastic differential equations under \(G\)-framework
• Supermartingale decomposition theorem under \(G\)-expectation
• Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management
• Properties of \(G\)-martingales with finite variation and the application to \(G\)-Sobolev spaces
• Distributed consensus and convergence rate analysis of multiagent systems with noises under \(G\)-expectation

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