李邯武
Professor
Visit:次
Paper Publications
Home
Martingale Inequalities under G-Expectation and Their Applications
  • Affiliation of Author(s):
    比勒菲尔德大学
  • Journal:
    ACTA MATHEMATICA SCIENTIA
  • Place of Publication:
    China
  • Key Words:
    G-expectation, G-supermartingale, upcrossing inequality
  • Abstract:
    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,
  • Correspondence Author:
    Hanwu Li
  • Discipline:
    mathematics
  • Volume:
    41
  • Issue:
    2
  • Page Number:
    349-360
  • ISSN No.:
    0252-9602
  • Translation or Not:
    no
  • Date of Publication:
    4425-06-01

Pre One:A Knightian irreversible investment problem

Next One:Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle

Copyright All Rights Reserved Shandong University Address: No. 27 Shanda South Road, Jinan City, Shandong Province, China: 250100
Information desk: (86) - 0531-88395114
On Duty Telephone: (86) - 0531-88364731 Construction and Maintenance: Information Work Office of Shandong University