KMS Of Academy of mathematics and systems sciences, CAS
somepropertiesongevaluationanditsapplicationstogmartingaledecomposition | |
Song Yongsheng | |
2011 | |
发表期刊 | sciencechinamathematics |
ISSN | 1674-7283 |
卷号 | 54期号:2页码:287 |
摘要 | In this article, a sublinear expectation induced by G-expectation is introduced, which is called Gevaluation for convenience. As an application, we prove that for any ξ ∈ L_G~β (ΩT) with some β > 1 the martingale decomposition theorem under G-expectaion holds, and that any β > 1 integrable symmetric G-martingale can be represented as an Ito integral w.r.t. G-Brownian motion. As a byproduct, we prove a regularity property for G-martingales: Any G-martingale {Mt} has a quasi-continuous version |
语种 | 英语 |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/39896 |
专题 | 应用数学研究所 |
作者单位 | 中国科学院数学与系统科学研究院 |
推荐引用方式 GB/T 7714 | Song Yongsheng. somepropertiesongevaluationanditsapplicationstogmartingaledecomposition[J]. sciencechinamathematics,2011,54(2):287. |
APA | Song Yongsheng.(2011).somepropertiesongevaluationanditsapplicationstogmartingaledecomposition.sciencechinamathematics,54(2),287. |
MLA | Song Yongsheng."somepropertiesongevaluationanditsapplicationstogmartingaledecomposition".sciencechinamathematics 54.2(2011):287. |
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