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所属单位：
山东大学
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论文名称：
Supermartingale decomposition theorem under G-expectation
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发表刊物：
ELECTRONIC JOURNAL OF PROBABILITY
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关键字：
G-expectation, (E)over-cap(9)-supermartingale, (E)over-cap(9)-supermartingale decomposition theorem
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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.
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第一作者：
Hanwu Li,Hanwu Li,Hanwu Li
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通讯作者：
Hanwu Li
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全部作者：
Shige Peng, Yongsheng Song
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学科门类：
mathematics
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卷号：
23
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ISSN号：
1083-6489
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是否译文：
否
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发表时间：
2018-01
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发布时间：
2021-10-22
