| 一般时间区间L~p-半鞅序列的单调极限定理 |
| |
| 引用本文： | 石学军,冯群,田德建,江龙.一般时间区间L~p-半鞅序列的单调极限定理[J].数学年刊A辑(中文版),2019,40(2):211-230. |
| |
| 作者姓名： | 石学军 冯群 田德建 江龙 |
| |
| 作者单位： | 山东师范大学数学与统计学院, 济南 250014.,济南大学商学院, 济南 250002.,中国矿业大学数学学院, 江苏 徐州 221008.,通信作者.中国矿业大学数学学院, 江苏 徐州 221008. |
| |
| 摘 要： | 基于倒向随机微分方程(BSDE)和非线性期望理论中惩罚方法的启发,研究并得到了一般时间区间上L~p-半狹序列的单调极限定理.该结果的证明并非经典结果的平凡推广,新的框架让我们面对许多新问题,它将在一般框架下g-上鞅的Doob-Meyer型分解以及受限BSDE解的存在性等问题的探索中发挥重要作用.
|
| 关 键 词： | Monotonic limit theorem Penalization method Weak convergence Nonlinear Doob-Meyer decomposition Backward stochastic differential equation |
| 收稿时间： | 2016/3/12 0:00:00 |
| 修稿时间： | 2018/3/20 0:00:00 |
Monotonic Limit Theorem for Lp-Semimartingales on General Time Horizon |
| |
| SHI Xuejun,FENG Qun,TIAN
Dejian and JIANG Long.Monotonic Limit Theorem for Lp-Semimartingales on General Time Horizon[J].Chinese Annals of Mathematics,2019,40(2):211-230. |
| |
| Authors: | SHI Xuejun FENG Qun TIAN
Dejian and JIANG Long |
| |
| Institution: | School of Mathematics and Statistics, Shandong NormalUniversity, Jinan 250014, China.,School of Business, University of Jinan, Jinan 250002, China.,School of Mathematics, China University of Mining and Technology, Xuzhou 221008, Jiangsu, China. and Corresponding author. School of Mathematics, China University of Mining and Technology, Xuzhou 221008, Jiangsu, China. |
| |
| Abstract: | In this paper, a new version of monotonic
limit theorem is established for a sequence of $L^p$-semimartingales
on general time interval, motivated by the penalization method in
the theories of backward stochastic differential equations (BSDEs for short)
and nonlinear expectations. It is just the general framework
that makes us have to tackle many new problems. And also this
non-trivial result plays a key role in exploring the more general
form of nonlinear Doob-Meyer Decomposition of $g$-supermartingale
and the existence of solutions to BSDEs with constraints. |
| |
| Keywords: | Monotonic limit theorem Penalization method Weak convergence Nonlinear Doob-Meyer decomposition Backward stochastic differential equation |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《数学年刊A辑(中文版)》浏览原始摘要信息 |
| 点击此处可从《数学年刊A辑(中文版)》下载免费的PDF全文 |
|
