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| MARTINGALE INEQUALITIES UNDER G-EXPECTATION AND THEIR APPLICATIONS | |
| 作者姓名： | 李邯武 |
| 作者单位： | Center for Mathematical Economics |
| 基金项目： | supported by the German Research Foundation(DFG)via CRC 1283. |
| 摘 要： | In this paper,we study the martingale inequalities under G-expectation and their applications.To this end,we introduce a new kind of random time,called G-stopping time,and then investigate the properties of a G-martingale(supermartingale)such as the optional sampling theorem and upcrossing inequalities.With the help of these properties,we can show the martingale convergence property under G-expectation. |
| 关 键 词： | G-EXPECTATION G-supermartingale upcrossing inequality |
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