| CONTINUOUS PROPERTIES OF G-MARTINGALES |
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| 作者姓名： | CHEN Zengjing PENG Shige |
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| 基金项目： | Project supported by the National Natural Science Foundation of China (No.79790130). |
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| 摘 要： | SO. IntroductionPeng1] introduced the notions of g--expectation and conditional g--expectation as wellas g-maltingale illtroduced via BSDEs, he proved that under suitable square integrabiLity assumption on coefficient g and terminal value (, the g--expectation and conditionalg-expectation of the random variable (preserve many of the basic properties (except linearity) of the convenient mathematical expectation and conditional expectation. More recelltly, under the assumption of continuous p…
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| 关 键 词： | 连续性 G-鞅 随意停机定理 随机微分方程 |
| 收稿时间： | 1998/6/21 0:00:00 |
| 修稿时间： | 2000/6/23 0:00:00 |
CONTINUOUS PROPERTIES OF G-MARTINGALES |
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| CHEN Zengjing,PENG Shige.CONTINUOUS PROPERTIES OF G-MARTINGALES[J].Chinese Annals of Mathematics,Series B,2001,22(1):115-128. |
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| Authors: | CHEN Zengjing and PENG Shige |
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| Institution: | Department of Mathematics, Shandong University, |
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| Abstract: | The authors study the continuous properties of square integrable g-martingales via backward stochastic differential equations (shortly BSDEs) and get a general upcrossing inequality and an optional stopping theorem for g-martingales. |
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| Keywords: | BSDEs g-expectation g-martingale Upcrossing inequality Optional stopping theorem |
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