| dc.contributor.author | Bouchard, Bruno | |
| dc.contributor.author | Possamaï, Dylan | |
| dc.contributor.author | Tan, Xiaolu | |
| dc.date.accessioned | 2017-01-17T14:44:53Z | |
| dc.date.available | 2017-01-17T14:44:53Z | |
| dc.date.issued | 2016 | |
| dc.identifier.issn | 1083-6489 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/16168 | |
| dc.language.iso | en | en |
| dc.subject | Doob-Meyer decomposition | en |
| dc.subject | non-linear expectations | en |
| dc.subject | backward stochastic differential equations | en |
| dc.subject.ddc | 519 | en |
| dc.title | A general Doob-Meyer-Mertens decomposition for g-supermartingale systems | en |
| dc.type | Article accepté pour publication ou publié | |
| dc.description.abstracten | 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. | en |
| dc.relation.isversionofjnlname | Electronic Journal of Probability | |
| dc.relation.isversionofjnlvol | 21 | en |
| dc.relation.isversionofjnldate | 2016 | |
| dc.relation.isversionofjnlpages | 21 p. | en |
| dc.relation.isversionofdoi | 10.1214/16-EJP4527 | en |
| dc.identifier.urlsite | http://dx.doi.org/10.1214/16-EJP4527 | en |
| dc.relation.isversionofjnlpublisher | Electronic Journal of Probability and Electronic Communications in Probability | en |
| dc.subject.ddclabel | Probabilités et mathématiques appliquées | en |
| dc.relation.forthcoming | non | en |
| dc.relation.forthcomingprint | non | en |
| dc.description.ssrncandidate | non | en |
| dc.description.halcandidate | non | en |
| dc.description.readership | recherche | en |
| dc.description.audience | International | en |
| dc.relation.Isversionofjnlpeerreviewed | oui | en |
| dc.relation.Isversionofjnlpeerreviewed | oui | en |
| dc.date.updated | 2017-01-03T10:40:24Z | |
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