Nonlinear Decomposition of Doob‐Meyer′s Type for Continuous g‐Supermartingale with Uniformly Continuous Coefficient

Xuejun Shi, Long Jiang and Ronglin Ji

Journal of Applied Mathematics, 2014, vol. 2014, issue 1

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

Date: 2014
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https://doi.org/10.1155/2014/743508

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2014:y:2014:i:1:n:743508

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