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Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient
oleh: Xuejun Shi, Long Jiang, Ronglin Ji
Format: | Article |
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Diterbitkan: | Wiley 2014-01-01 |
Deskripsi
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.