A general Doob-Meyer-Mertens decomposition for g-supermartingale systems
Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu (2016), A general Doob-Meyer-Mertens decomposition for g-supermartingale systems, Electronic Journal of Probability, 21, p. 21 p.. 10.1214/16-EJP4527
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Article accepté pour publication ou publiéLien vers un document non conservé dans cette base
http://dx.doi.org/10.1214/16-EJP4527Date
2016Nom de la revue
Electronic Journal of ProbabilityVolume
21Éditeur
Electronic Journal of Probability and Electronic Communications in Probability
Pages
21 p.
Identifiant publication
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We provide a general Doob-Meyer decomposition for g-supermartingale systems, which does not require any right-continuity on the system, nor that the filtration is quasi left-continuous. In particular, it generalizes the Doob-Meyer decomposition of Mertens [36] for classical supermartingales, as well as Peng’s [41] version for right-continuous g-supermartingales. As examples of application, we prove an optional decomposition theorem for g-supermartingale systems, and also obtain a general version of the well-known dual formulation for BSDEs with constraint on the gains-process, using very simple arguments.Mots-clés
Doob-Meyer decomposition; non-linear expectations; backward stochastic differential equationsPublications associées
Affichage des éléments liés par titre et auteur.
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Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu; Zhou, Chao (2017) Article accepté pour publication ou publié
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Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu; Zhou, Chao (2018) Article accepté pour publication ou publié
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Bouchard, Bruno; Tan, Xiaolu (2020) Document de travail / Working paper
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Possamaï, Dylan; Tan, Xiaolu; Zhou, Chao (2018) Article accepté pour publication ou publié
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Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier (2019) Article accepté pour publication ou publié