Nonlinear Decomposition of Doob-Meyer's Type for Continuous -Supermartingale with Uniformly Continuous Coefficient

Xuejun Shi, Long Jiang and Ronglin Ji

Journal of Applied Mathematics, 2014, vol. 2014, 1-9

Abstract:

We prove that a continuous -supermartingale with uniformly continuous coeffcient on finite or infinite horizon, is a -supersolution of the corresponding backward stochastic differential equation. It is a new nonlinear Doob-Meyer decomposition theorem for the -supermartingale with continuous trajectory.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:743508

DOI: 10.1155/2014/743508

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