李邯武
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Supermartingale decomposition theorem under G-expectation
  • Institution:
    山东大学
  • Title of Paper:
    Supermartingale decomposition theorem under G-expectation
  • Journal:
    ELECTRONIC JOURNAL OF PROBABILITY
  • Key Words:
    G-expectation, (E)over-cap(9)-supermartingale, (E)over-cap(9)-supermartingale decomposition theorem
  • Summary:
    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.
  • First Author:
    Hanwu Li,Hanwu Li,Hanwu Li
  • Correspondence Author:
    Hanwu Li
  • All the Authors:
    Shige Peng, Yongsheng Song
  • Discipline:
    mathematics
  • Volume:
    23
  • ISSN:
    1083-6489
  • Translation or Not:
    No
  • Date of Publication:
    2018-01
  • Release Time:
    2021-10-22
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