| Nonlinear Doob—Meyer Decomposition with Jumps |
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| 引用本文： | QingQuanLIN. Nonlinear Doob—Meyer Decomposition with Jumps[J]. 数学学报(英文版), 2003, 19(1): 69-78. DOI: 10.1007/s10114-002-0218-2 |
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| 作者姓名： | QingQuanLIN |
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| 作者单位： | ChinaFinacialPolicyResearchCenter,SchoolofFinanceofRenminUniversityofChina,Beijing100871 |
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| 摘 要： | Concepts of g-supersolution ,g-martingale,g-supermartingale are introduced,wihch are related to BSDE with Brownian motion and Poisson Point process.A strict comparison theorem,monotonic limit theorem related to this type of BSDE are also discussed.As an application of these results,a nonlinear Doob-Meyer decomposition theorem is obtained.
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| 关 键 词： | 非线性杜布－迈耶分解 g－上解 g－上鞅 泊松过程 跃变 BSDE |
| 收稿时间： | 2000-03-28 |
Nonlinear Doob-Meyer Decomposition with Jumps |
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| Qing?Quan?LinEmail author. Nonlinear Doob-Meyer Decomposition with Jumps[J]. Acta Mathematica Sinica(English Series), 2003, 19(1): 69-78. DOI: 10.1007/s10114-002-0218-2 |
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| Authors: | Qing?Quan?Lin author-information" > author-information__contact u-icon-before" > mailto:linqingquan@sina.com" title=" linqingquan@sina.com" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author |
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| Affiliation: | (1) China Financial Policy Research Center, School of Finance of Renmin University of China, Beijing 100872, P. R. China |
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| Abstract: | Concepts of g-supersolution, g-manrtingale, g-supermartingale are introduced, which are related to BSDE with Brownian motion and Poisson point process. A strict comparison theorem, monotonic limit theorem related to this type of BSDE are also discussed. As an application of these results, a nonlinear Doob-Meyer decomposition theorem is obtained. This work is supported by NSF of China, No. 79790130, and by China Financial Policy Research Center, No. 999365010 |
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| Keywords: | g-supersolution g-supermartingale Poisson process Nonlinear Doob-Meyer decomposition |
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