The Riesz decomposition theorem for g-supermartingales

MaRDI QIDQ5299658zbMATHFDO

Authors Panyu Wu

Publication date 20 June 2013

zbMATH Keywords

potentialbackward stochastic differential equationssupermartingaleRiesz decomposition theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• \(L^{p}\) solutions of infinite time interval BSDEs and the corresponding \(g\)-expectations and \(g\)-martingales
• scientific article; zbMATH DE number 1269939
• scientific article; zbMATH DE number 1563401
• BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem for \({\mathcal E}\)-supermartingales in \(L^p\)

Cited in

(1)

• Supermartingale decomposition theorem under \(G\)-expectation

This page was built for publication: The Riesz decomposition theorem for \(g\)-supermartingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5299658)