A general downcrossing inequality for g -martingales

Statistics and Probability Letters

Volumn 46, Issue 2, 2000, Pages 169-175

  Chen, Zengjing ^a   Peng, Shige ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

BSDEs; Downcrossing inequality; g expectation; g martingale; Primary 60H10

Indexed keywords

EID: 0013198407     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(99)00102-9     Document Type: Article

References (4)

1. Doob, J.L., 1983. Classical Potential Theory and its Probabilistic Counterpart. Springer, New York.
2. El Karoui N., Peng S., Quenez M.C. Backwards stochastic differential equations in finance. Math. Finance. 7:1997;1-71.
3. Peng, S., 1997. BSDE and related g -expectation. Pitman Research Notes in Math. Series, Vol. 364. In: El Karoui, N., Mazliak, L. (Eds.), Backwards Stochastic Differential Equations, Longman, England, pp. 141-159.
4. Peng, S., 1999. Monotonic limit theorem of BSDE and nonlinear decomposition theorem for Doob-Meyer's type. Probab. Theory Related Fields 113, 473-499.