Abstract
In this paper, we first introduce the notions of nonlinear mathematical expectations and nonlinear martingales via backward stochastic differential equations(BSDEs) introduced by Duffie & Epstein and Skiadas. And then, we prove a general nonlinear decomposition theorem. Our decomposition theorem generalizes Doob-Meyer decomposition theorem.
Citation
Zengjing Chen. Shige Peng. "A DECOMPOSITION THEOREM OF -MARTINGALES *." SUT J. Math. 34 (2) 197 - 208, June 1998. https://doi.org/10.55937/sut/991985315
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