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Supermartingale decomposition theorem under G-expectation

Affiliation of Author(s):

山东大学
Journal:

ELECTRONIC JOURNAL OF PROBABILITY
Key Words:

G-expectation, (E)over-cap(9)-supermartingale, (E)over-cap(9)-supermartingale decomposition theorem
Abstract:

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.
All the Authors:

Yongsheng Song,Shige Peng
First Author:

Hanwu Li,
Correspondence Author:

Hanwu Li
Discipline:

mathematics
Volume:

23
ISSN No.:

1083-6489
Translation or Not:

no
Date of Publication:

2018-01-01