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| CONTINUOUS PROPERTIES OF G-MARTINGALES |
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Citation： |
CHEN Zengjing,PENG Shige.CONTINUOUS PROPERTIES OF G-MARTINGALES[J].Chinese Annals of Mathematics B,2001,22(1):115~128 |
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Net amount： 818 |
Authors： |
CHEN Zengjing; PENG Shige |
Foundation： |
Project supported by the National Natural Science Foundation of China (No.79790130). |
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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. |
Keywords： |
BSDEs, g-expectation, g-martingale, Upcrossing inequality, Optional stopping theorem |
Classification： |
60H10, 60G48 |
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