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A general Doob-Meyer-Mertens decomposition for g-supermartingale systems

hal.structure.identifier
dc.contributor.authorBouchard, Bruno
hal.structure.identifier
dc.contributor.authorPossamaï, Dylan
hal.structure.identifier
dc.contributor.authorTan, Xiaolu
dc.date.accessioned2017-01-17T14:44:53Z
dc.date.available2017-01-17T14:44:53Z
dc.date.issued2016
dc.identifier.issn1083-6489
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16168
dc.language.isoenen
dc.subjectDoob-Meyer decompositionen
dc.subjectnon-linear expectationsen
dc.subjectbackward stochastic differential equationsen
dc.subject.ddc519en
dc.titleA general Doob-Meyer-Mertens decomposition for g-supermartingale systemsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameElectronic Journal of Probability
dc.relation.isversionofjnlvol21en
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages21 p.en
dc.relation.isversionofdoi10.1214/16-EJP4527en
dc.identifier.urlsitehttp://dx.doi.org/10.1214/16-EJP4527en
dc.relation.isversionofjnlpublisherElectronic Journal of Probability and Electronic Communications in Probabilityen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-01-03T10:40:24Z
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