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所属单位：
比勒菲尔德大学
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论文名称：
Martingale Inequalities under G-Expectation and Their Applications
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发表刊物：
ACTA MATHEMATICA SCIENTIA
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刊物所在地：
China
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关键字：
G-expectation, G-supermartingale, upcrossing inequality
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摘要：
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.
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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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学科门类：
mathematics
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卷号：
41
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期号：
2
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页面范围：
349-360
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ISSN号：
0252-9602
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是否译文：
否
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发表时间：
4425-06
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发布时间：
2021-10-22
