A general downcrossing inequality for \(g\)-martingales
type: Item
instance of: scholarly article
title: A general downcrossing inequality for \(g\)-martingales
zbMATH Open document ID: 0954.60049
DOI: 10.1016/S0167-7152(99)00102-9
author: Shige Peng
author: Zengjing Chen
published in: Statistics \& Probability Letters
publication date: 2001-02-05T00:00:00Z
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 1422611
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: \(g\)-expectation
zbMATH Keywords: \(g\)-martingale
zbMATH Keywords: downcrossing inequality
MaRDI profile type: Publication
cites work: Classical potential theory and its probabilistic counterpart.
cites work: Backward Stochastic Differential Equations in Finance
cites work: Q4357507
cites work: Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
full work available at URL: s0167-7152(99)00102-9
OpenAlex ID: W2099755112
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description: scientific article; zbMATH DE number 1422611