Nonlinear Decomposition of Doob-Meyer's Type for Continuous g-Supermartingale with Uniformly Continuous Coefficient

oleh: Xuejun Shi, Long Jiang, Ronglin Ji

Format: Article
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.