Supermartingale decomposition theorem under G-expectation

doi:10.1214/18-EJP173

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 应用数学研究所

	Supermartingale decomposition theorem under G-expectation
	Li, Hanwu 1; Peng, Shige 1,2; Song, Yongsheng3,4
刊名	ELECTRONIC JOURNAL OF PROBABILITY
	2018
卷号	23 页码:20
关键词	G-expectation (E)over-cap(9)-supermartingale (E)over-cap(9)-supermartingale decomposition theorem
ISSN号	1083-6489
DOI	10.1214/18-EJP173
英文摘要	The 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.
资助项目	Tian 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研究方向	Mathematics
语种	英语
出版者	UNIV WASHINGTON, DEPT MATHEMATICS
WOS记录号	WOS:000434456200006
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/30382]
专题	应用数学研究所
通讯作者	Li, Hanwu
作者单位	1.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
推荐引用方式 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.