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-martin...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.展开更多
The comparison theorem for generalized backward stochastic differential equations is discussed. Some topics related to equations of this type are also investigated.
基金supported by the German Research Foundation(DFG)via CRC 1283.
文摘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.
基金in Shandong University, supported by National Natural Science Foundation of China (No.79790130)China Financial Policy Research Center, Renmin University of China.
文摘The comparison theorem for generalized backward stochastic differential equations is discussed. Some topics related to equations of this type are also investigated.
