On g-evaluations with L^p domains under jump filtration

DOI10.1080/07362994.2017.1372782zbMATH Open1382.60085OpenAlexW2782415891MaRDI QIDQ4607789FDOQ4607789

Authors: Song Yao 

Publication date: 14 March 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2017.1372782

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• \(L^{p}\) solutions of infinite time interval BSDEs and the corresponding \(g\)-expectations and \(g\)-martingales

zbMATH Keywords

Doob-Meyer decompositionJensen inequality\(g\)-expectationbackward stochastic differential equation with jumpsupcrossing inequality\(g\)-evaluationoptional sampling\(\mathbb{L}^p\) solutionsgenerator representationreverse comparision theorem of BSDEJs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (L^p)-limit theorems (60F25)

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Cited In (3)

• Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
• On the jumping phenomenon of \(\dim_{\mathbb{C}} H^q (\mathcal{X}_t,\mathcal{E}_t)\)
• \(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps

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