Martingale representation theorem for the G-expectation

Stochastic Processes and their Applications

Volumn 121, Issue 2, 2011, Pages 265-287

  Soner, H Mete ^a,b   Touzi, Nizar ^c   Zhang, Jianfeng ^d  

^a ETH ZURICH   (Switzerland)

^b SWISS FINANCE INSTITUTE   (Switzerland)

^c CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^d UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

2BSDE; BSDE; duality; G expectation; G martingale; nonlinear expectation; singular measure; stochastic target problem

Indexed keywords

2BSDE; BSDE; DUALITY; G-EXPECTATION; G-MARTINGALE; NONLINEAR EXPECTATION; SINGULAR MEASURES; STOCHASTIC TARGETS;

DIFFERENTIAL EQUATIONS; INVESTMENTS; THEOREM PROVING;

STOCHASTIC SYSTEMS;

EID: 78650272306     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.10.006     Document Type: Article

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