A general downcrossing inequality for g-martingales

Zengjing Chen and Shige Peng

Statistics & Probability Letters, 2000, vol. 46, issue 2, 169-175

Abstract: In this paper, we get a general downcrossing inequality for g-martingales introduced via a class of backwards stochastic differential equations (shortly BSDEs).

Keywords: BSDEs; g-expectation; g-martingale; Downcrossing; inequality (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (11)

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