A general Doob-Meyer-Mertens decomposition for g-supermartingale systems
Date
2016Link to item file
http://dx.doi.org/10.1214/16-EJP4527Dewey
Probabilités et mathématiques appliquéesSujet
Doob-Meyer decomposition; non-linear expectations; backward stochastic differential equationsJournal issue
Electronic Journal of ProbabilityVolume
21Publication date
2016Article pages
21 p.Publisher
Electronic Journal of Probability and Electronic Communications in ProbabilityCollections
Metadata
Show full item recordAuthor
Bouchard, Bruno
Possamaï, Dylan
Tan, Xiaolu