Martingale Decomposition and Backward Stochastic Dynamic Equations on Time Scales

Author:

Tang Guofeng1ORCID,Jia Guangyan1ORCID

Affiliation:

1. Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan 250100, China

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.

Funder

National Basic Research Program of China

Publisher

Hindawi Limited

Subject

General Mathematics

Reference34 articles.

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4. The stochastic dynamic exponential and geometric brownian motion on isolated time scales;M. Bohner;Communications in Mathematical Analysis,2010

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