Some properties on G-evaluation and its applications to G-martingale decomposition

doi:10.1007/s11425-010-4162-9

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	Some properties on G-evaluation and its applications to G-martingale decomposition
	Song YongSheng
	2011-02-01
发表期刊	SCIENCE CHINA-MATHEMATICS
ISSN	1674-7283
卷号	54 期号:2 页码:287-300
摘要	In 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.
关键词	G-expectation G-evaluation G-martingale decomposition theorem
DOI	10.1007/s11425-010-4162-9
语种	英语
资助项目	National Basic Research Program of China (973 Program)[2007CB814902]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000287200600007
出版者	SCIENCE CHINA PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12384
专题	应用数学研究所
通讯作者	Song YongSheng
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100190, Peoples R China
推荐引用方式 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.