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Supermartingale decomposition theorem under G-expectation
文献类型：期刊论文
| 作者 | Li, Hanwu1; Peng, Shige1,2; Song, Yongsheng3,4
|
| 刊名 | ELECTRONIC JOURNAL OF PROBABILITY
 |
| 出版日期 | 2018 |
| 卷号 | 23页码:20 |
| ISSN号 | 1083-6489 |
| 关键词 | G-expectation (E)over-cap(9)-supermartingale (E)over-cap(9)-supermartingale decomposition theorem |
| DOI | 10.1214/18-EJP173 |
| 英文摘要 | 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. |
| 资助项目 | Tian Yuan Projection of the National Natural Science Foundation of China[11526205] ; Tian Yuan Projection of the National Natural Science Foundation of China[11626247] ; NCMIS ; NSFC[11688101] ; Key Research Program of Frontier Sciences, CAS[QYZDB-SSW-SYS017] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| 出版者 | UNIV WASHINGTON, DEPT MATHEMATICS |
| WOS记录号 | WOS:000434456200006 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/30382]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Li, Hanwu |
| 作者单位 | 1.Shandong Univ, Sch Math, Jinan, Shandong, Peoples R China 2.Shandong Univ, Qilu Inst Finance, Jinan, Shandong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, RCSDS, Beijing, Peoples R China 4.Univ Chinese Acad Sci, Sch Math Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Li, Hanwu,Peng, Shige,Song, Yongsheng. Supermartingale decomposition theorem under G-expectation[J]. ELECTRONIC JOURNAL OF PROBABILITY,2018,23:20. |
| APA | Li, Hanwu,Peng, Shige,&Song, Yongsheng.(2018).Supermartingale decomposition theorem under G-expectation.ELECTRONIC JOURNAL OF PROBABILITY,23,20. |
| MLA | Li, Hanwu,et al."Supermartingale decomposition theorem under G-expectation".ELECTRONIC JOURNAL OF PROBABILITY 23(2018):20. |
入库方式： OAI收割
来源：数学与系统科学研究院
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