摘要
本文应用倒向随机微分方程的有关理论和g-鞅的Jensen不等式证明了g-鞅的极大值不等式、g-鞅的Doob不等式和g-鞅的Chow不等式及其两种特殊情形,推广了不等式的相应结果.
By using the theory of backward stochastic differential equation and Jensen’s inequality of[g]-mar-tingale,the maximal inequality of[g]-martingale,Doob’inequality of[g]-martingale,Chow’s inequality of[g]- martingale and two special cases of it are provedtogeneralize the corresponding results of the inequality.
作者
蔺海新
Lin Hai-xin(College of Mathematics and Statistics,Hexi University,Zhangye Gansu 734000)
出处
《河西学院学报》
2019年第2期1-5,共5页
Journal of Hexi University
关键词
倒向随机微分方程
g-鞅
Doob不等式
Chow不等式
G-期望
Backward stochastic differential equation
[g]-martingale
Doob’s inequality
Chow’s inequality
[g]-expectation
