Continuous properties of \(g\)-martingales

DOI10.1142/S0252959901000127zbMath0980.60084MaRDI QIDQ5933950

Shige Peng, Zeng-Jing Chen

Publication date: 4 March 2002

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

zbMATH Keywords

\(g\)-expectation\(g\)-martingalebackward stochastic differential equationoptional stopping theoremupcrossing inequality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)

Related Items (9)

Optimal multiple stopping problems under \(g\)-expectation ⋮ Extension and Application of Itô's Formula UnderG-Framework ⋮ Backward stochastic differential equations with jumps and related nonlinear expectations ⋮ Supermartingale decomposition theorem under \(G\)-expectation ⋮ Ong−evaluations with domains under jump filtration ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ Filtration consistent nonlinear expectations and evaluations of contingent claims ⋮ Maximal inequalities for \(g\)-martingales ⋮ A probabilistic characterization of g-harmonic functions

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