Open Access
Translator Disclaimer
2014 Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient
Xuejun Shi, Long Jiang, Ronglin Ji
J. Appl. Math. 2014: 1-9 (2014). DOI: 10.1155/2014/743508

Abstract

We prove that a continuous g-supermartingale with uniformly continuous coeffcient g on finite or infinite horizon, is a g-supersolution of the corresponding backward stochastic differential equation. It is a new nonlinear Doob-Meyer decomposition theorem for the g-supermartingale with continuous trajectory.

Citation

Download Citation

Xuejun Shi. Long Jiang. Ronglin Ji. "Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient." J. Appl. Math. 2014 1 - 9, 2014. https://doi.org/10.1155/2014/743508

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07010734
MathSciNet: MR3178969
Digital Object Identifier: 10.1155/2014/743508

Rights: Copyright © 2014 Hindawi

JOURNAL ARTICLE
9 PAGES


SHARE
Vol.2014 • 2014
Back to Top