Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient
Joint Authors
Shi, Xuejun
Jiang, Long
Ji, Ronglin
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-02
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Shi, Xuejun& Jiang, Long& Ji, Ronglin. 2014. Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-495229
Modern Language Association (MLA)
Shi, Xuejun…[et al.]. Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient. Journal of Applied Mathematics No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-495229
American Medical Association (AMA)
Shi, Xuejun& Jiang, Long& Ji, Ronglin. Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-495229
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-495229
