Nonlinear Doob-Meyer decomposition with jumps.

DOI10.1007/S10114-002-0218-2zbMath1048.91066OpenAlexW1983962060MaRDI QIDQ1566019

Qing Quan Lin

Publication date: 2003

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-002-0218-2

zbMATH Keywords

Poisson processg-supermartingaleg-supersolution

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (5)

Backward stochastic differential equations with regime-switching and sublinear expectations ⋮ General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales ⋮ Ong−evaluations with domains under jump filtration ⋮ On comparison theorem and solutions of BSDEs for Lévy processess ⋮ A general comparison theorem for backward stochastic differential equations

Cites Work

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• Smallest \(g\)-supersolution for BSDE with continuous drift coefficients
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Stochastic Differential Utility
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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