CSpace  > 应用数学研究所
Some properties on G-evaluation and its applications to G-martingale decomposition
Song YongSheng
2011-02-01
Source PublicationSCIENCE CHINA-MATHEMATICS
ISSN1674-7283
Volume54Issue:2Pages:287-300
AbstractIn this article, a sublinear expectation induced by G-expectation is introduced, which is called G-evaluation for convenience. As an application, we prove that for any zeta a L (G) (beta) (Omega (T) ) with some beta > 1 the martingale decomposition theorem under G-expectaion holds, and that any beta > 1 integrable symmetric G-martingale can be represented as an It integral w.r.t. G-Brownian motion. As a byproduct, we prove a regularity property for G-martingales: Any G-martingale {M (t) } has a quasi-continuous version.
KeywordG-expectation G-evaluation G-martingale decomposition theorem
DOI10.1007/s11425-010-4162-9
Language英语
Funding ProjectNational Basic Research Program of China (973 Program)[2007CB814902]
WOS Research AreaMathematics
WOS SubjectMathematics, Applied ; Mathematics
WOS IDWOS:000287200600007
PublisherSCIENCE CHINA PRESS
Citation statistics
Cited Times:49[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/12384
Collection应用数学研究所
AffiliationChinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Song YongSheng. Some properties on G-evaluation and its applications to G-martingale decomposition[J]. SCIENCE CHINA-MATHEMATICS,2011,54(2):287-300.
APA Song YongSheng.(2011).Some properties on G-evaluation and its applications to G-martingale decomposition.SCIENCE CHINA-MATHEMATICS,54(2),287-300.
MLA Song YongSheng."Some properties on G-evaluation and its applications to G-martingale decomposition".SCIENCE CHINA-MATHEMATICS 54.2(2011):287-300.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Song YongSheng]'s Articles
Baidu academic
Similar articles in Baidu academic
[Song YongSheng]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Song YongSheng]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.