李邯武
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Martingale Inequalities under G-Expectation and Their Applications
  • Institution:
    比勒菲尔德大学
  • Title of Paper:
    Martingale Inequalities under G-Expectation and Their Applications
  • Journal:
    ACTA MATHEMATICA SCIENTIA
  • Place of Publication:
    China
  • Key Words:
    G-expectation, G-supermartingale, upcrossing inequality
  • Summary:
    In this paper, we study the martingale inequalities under G-expectation and their applications. To this end, we introduce a new kind of random time, called G-stopping time, and then investigate the properties of a G-martingale (supermartingale) such as the optional sampling theorem and upcrossing inequalities. With the help of these properties, we can show the martingale convergence property under G-expectation.
  • First Author:
    Hanwu Li,Hanwu Li,Hanwu Li
  • Correspondence Author:
    Hanwu Li
  • Discipline:
    mathematics
  • Volume:
    41
  • Issue:
    2
  • Page Number:
    349-360
  • ISSN:
    0252-9602
  • Translation or Not:
    No
  • Date of Publication:
    4425-06
  • Release Time:
    2021-10-22
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