Properties of G-martingales with finite variation and the application to G-Sobolev spaces

doi:10.1016/j.spa.2018.07.002

CSpace > 应用数学研究所

	Properties of G-martingales with finite variation and the application to G-Sobolev spaces
	Song, Yongsheng1,2
	2019-06-01
发表期刊	STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN	0304-4149
卷号	129 期号:6 页码:2066-2085
摘要	As is known, if B = (B-t)(t is an element of[0,T]) is a G-Brownian motion, a process of form integral(t)(0) eta(s)d < B >(s) - integral(t)(0) 2G(eta(s))ds, eta is an element of M-G(1)(0, T), is a non-increasing G-martingale. In this paper, we shall show that a non-increasing G-martingale cannot be form of integral(t)(0) eta(s)ds or integral(t)(0) gamma(s)d < B >(s), eta, gamma is an element of M-G(1)(0, T), which implies that the decomposition for generalized G-Ito processes is unique: For arbitrary zeta is an element of H-G(1)(0, T), eta is an element of M-G(1)(0, T) and non-increasing G-martingales K, L, if integral(t)(0) zeta(s)d B-s + integral(t)(0) eta(s)ds + K-t = L-t, t is an element of[0, T], then we have eta 0, zeta 0 and K-t = L-t. As an application, we give a characterization to the G-Sobolev spaces introduced in Peng and Song (2015). (C) 2018 Elsevier B.V. All rights reserved.
关键词	G-martingales with finite variation Generalized G-ito processes Unique decomposition G-Sobolev spaces
DOI	10.1016/j.spa.2018.07.002
语种	英语
资助项目	NCMIS; NSFCs[11231005] ; NCMIS; NSFCs[11688101] ; Key Research Program of Frontier Sciences, CAS[QYZDB-SSW-SYS017]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000469157100008
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/34789
专题	应用数学研究所
通讯作者	Song, Yongsheng
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, RCSDS, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
推荐引用方式 GB/T 7714	Song, Yongsheng. Properties of G-martingales with finite variation and the application to G-Sobolev spaces[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2019,129(6):2066-2085.
APA	Song, Yongsheng.(2019).Properties of G-martingales with finite variation and the application to G-Sobolev spaces.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,129(6),2066-2085.
MLA	Song, Yongsheng."Properties of G-martingales with finite variation and the application to G-Sobolev spaces".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 129.6(2019):2066-2085.