Martingale Decomposition and Backward Stochastic Dynamic Equations on Time Scales

Guofeng Tang, Guangyan Jia and Barbara Martinucci

Journal of Mathematics, 2022, vol. 2022, 1-12

Abstract: The paper aims to establish the related backward stochastic dynamic equations on time scales, BS ∇ Es for short, concerning to ∇-integral on time scales. We present the martingale decomposition theorem on time scales and prove the existence and uniqueness theorem of solutions to BS ∇ Es. This work can be considered as a unification and a generalization of similar results in backward stochastic difference equations and backward stochastic differential equations.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jjmath:6217582

DOI: 10.1155/2022/6217582

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