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Supermartingale decomposition theorem under G-expectation
Li, Hanwu1; Peng, Shige1,2; Song, Yongsheng3,4
2018
Source PublicationELECTRONIC JOURNAL OF PROBABILITY
ISSN1083-6489
Volume23Pages:20
AbstractThe objective of this paper is to establish the decomposition theorem for supermartingales under the G-framework. We first introduce a g-nonlinear expectation via a kind of G-BSDE and the associated supermartingales. We have shown that this kind of supermartingales has the decomposition similar to the classical case. The main ideas are to apply the property on uniform continuity of S-G(beta)(0, T), the representation of the solution to G-BSDE and the approximation method via penalization.
KeywordG-expectation (E)over-cap(9)-supermartingale (E)over-cap(9)-supermartingale decomposition theorem
DOI10.1214/18-EJP173
Language英语
Funding ProjectTian Yuan Projection of the National Natural Science Foundation of China[11526205] ; Tian Yuan Projection of the National Natural Science Foundation of China[11626247] ; NCMIS ; NSFC[11688101] ; Key Research Program of Frontier Sciences, CAS[QYZDB-SSW-SYS017]
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000434456200006
PublisherUNIV WASHINGTON, DEPT MATHEMATICS
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/30383
Collection应用数学研究所
Affiliation1.Shandong Univ, Sch Math, Jinan, Shandong, Peoples R China
2.Shandong Univ, Qilu Inst Finance, Jinan, Shandong, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, RCSDS, Beijing, Peoples R China
4.Univ Chinese Acad Sci, Sch Math Sci, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Li, Hanwu,Peng, Shige,Song, Yongsheng. Supermartingale decomposition theorem under G-expectation[J]. ELECTRONIC JOURNAL OF PROBABILITY,2018,23:20.
APA Li, Hanwu,Peng, Shige,&Song, Yongsheng.(2018).Supermartingale decomposition theorem under G-expectation.ELECTRONIC JOURNAL OF PROBABILITY,23,20.
MLA Li, Hanwu,et al."Supermartingale decomposition theorem under G-expectation".ELECTRONIC JOURNAL OF PROBABILITY 23(2018):20.
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