Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains

DOI10.1007/s00245-017-9422-4zbMath1411.60086OpenAlexW2614946866MaRDI QIDQ1734284

Xianqiang Yang

Publication date: 27 March 2019

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-017-9422-4

zbMATH Keywords

representation theoremDoob-Meyer decompositionbackward stochastic differential equations with jumps\(g\)-expectationsoptional sampling\(\mathbb{L}^p\) solutionsnonlinear expectations consistent with jump filtration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (L^p)-limit theorems (60F25)

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