Some properties on G-evaluation and its applications to G-martingale decomposition
文献类型：期刊论文
| 作者 | Song YongSheng
|
| 刊名 | SCIENCE CHINA-MATHEMATICS
 |
| 出版日期 | 2011-02-01 |
| 卷号 | 54期号:2页码:287-300 |
| ISSN号 | 1674-7283 |
| 关键词 | G-expectation G-evaluation G-martingale decomposition theorem |
| DOI | 10.1007/s11425-010-4162-9 |
| 英文摘要 | In this article, a sublinear expectation induced by G-expectation is introduced, which is called G-evaluation for convenience. As an application, we prove that for any zeta a L (G) (beta) (Omega (T) ) with some beta > 1 the martingale decomposition theorem under G-expectaion holds, and that any beta > 1 integrable symmetric G-martingale can be represented as an It integral w.r.t. G-Brownian motion. As a byproduct, we prove a regularity property for G-martingales: Any G-martingale {M (t) } has a quasi-continuous version. |
| 语种 | 英语 |
| 出版者 | SCIENCE CHINA PRESS |
| WOS记录号 | WOS:000287200600007 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/12383]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Song YongSheng |
| 作者单位 | Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Song YongSheng. Some properties on G-evaluation and its applications to G-martingale decomposition[J]. SCIENCE CHINA-MATHEMATICS,2011,54(2):287-300. |
| APA | Song YongSheng.(2011).Some properties on G-evaluation and its applications to G-martingale decomposition.SCIENCE CHINA-MATHEMATICS,54(2),287-300. |
| MLA | Song YongSheng."Some properties on G-evaluation and its applications to G-martingale decomposition".SCIENCE CHINA-MATHEMATICS 54.2(2011):287-300. |
入库方式： OAI收割
来源：数学与系统科学研究院
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