A complete representation theorem for G-martingales

被引：25

作者：

Peng, Shige ^{[1
]}

Song, Yongsheng ^{[2
]}

Zhang, Jianfeng ^{[3
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

[2] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China

[3] Univ So Calif, Dept Math, Los Angeles, CA 90089 USA

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2014年 / 86卷 / 04期

关键词：

G-expectations; G-martingales; martingale representation theorem; nonlinear expectations;

D O I：

10.1080/17442508.2013.865130

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this article, we establish a complete representation theorem for G-martingales. Unlike the existing results in the literature, we provide the existence and uniqueness of the second-order term, which corresponds to the second-order derivative in Markovian case. The main ingredient of the article is a new norm for that second-order term, which is based on an operator introduced by Song.

引用

页码：609 / 631

页数：23

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