A general downcrossing inequality for g-martingales

Author:

Chen Zengjing,Peng Shige

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference4 articles.

1. Doob, J.L., 1983. Classical Potential Theory and its Probabilistic Counterpart. Springer, New York.

2. Backwards stochastic differential equations in finance;El Karoui;Math. Finance,1997

3. Peng, S., 1997. BSDE and related g-expectation. Pitman Research Notes in Math. Series, Vol. 364. In: El Karoui, N., Mazliak, L. (Eds.), Backwards Stochastic Differential Equations, Longman, England, pp. 141–159.

4. Peng, S., 1999. Monotonic limit theorem of BSDE and nonlinear decomposition theorem for Doob–Meyer's type. Probab. Theory Related Fields 113, 473–499.

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