Nonlinear Doob-Meyer decomposition for general filtration

DOI10.1007/S102550200064zbMath1022.60065OpenAlexW2078396249MaRDI QIDQ1566053

Qing Quan Lin

Publication date: 28 October 2003

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

Full work available at URL: https://doi.org/10.1007/s102550200064

zbMATH Keywords

generalized backward stochastic differential equation\(g\)-supermartingale\(g\)-supersolutionDoob-Meyer decomposition theorem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99)

Related Items (1)

General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales

Cites Work

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• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Smallest \(g\)-supersolution for BSDE with continuous drift coefficients
• Backward Stochastic Differential Equations in Finance

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