Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient
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 tra...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/743508 |
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| _version_ | 1832564005241094144 |
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| author | Xuejun Shi Long Jiang Ronglin Ji |
| author_facet | Xuejun Shi Long Jiang Ronglin Ji |
| author_sort | Xuejun Shi |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-aa413b43f490471cad1c2982728e0cb3 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-aa413b43f490471cad1c2982728e0cb32025-02-03T01:12:04ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/743508743508Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous CoefficientXuejun Shi0Long Jiang1Ronglin Ji2College of Science, China University of Mining and Technology, Xuzhou, Jiangsu 221008, ChinaCollege of Science, China University of Mining and Technology, Xuzhou, Jiangsu 221008, ChinaCollege of Science, China University of Mining and Technology, Xuzhou, Jiangsu 221008, ChinaWe 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.http://dx.doi.org/10.1155/2014/743508 |
| spellingShingle | Xuejun Shi Long Jiang Ronglin Ji Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient Journal of Applied Mathematics |
| title | Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient |
| title_full | Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient |
| title_fullStr | Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient |
| title_full_unstemmed | Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient |
| title_short | Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient |
| title_sort | nonlinear decomposition of doob meyer s type for continuous g supermartingale with uniformly continuous coefficient |
| url | http://dx.doi.org/10.1155/2014/743508 |
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