Martingale Inequalities under G-Expectation and Their Applications

Li H (2021)
Acta Mathematica Scientia 41(2): 349-360.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
In this paper, we study the martingale inequalities under G-expectation and their applications. To this end, we introduce a new kind of random time, called G-stopping time, and then investigate the properties of a G-martingale (supermartingale) such as the optional sampling theorem and upcrossing inequalities. With the help of these properties, we can show the martingale convergence property under G-expectation.
Stichworte
G-expectation; G-supermartingale; upcrossing inequality
Erscheinungsjahr
2021
Zeitschriftentitel
Acta Mathematica Scientia
Band
41
Ausgabe
2
Seite(n)
349-360
ISSN
0252-9602
eISSN
1572-9087
Page URI
https://pub.uni-bielefeld.de/record/2952716

Zitieren

Li H. Martingale Inequalities under G-Expectation and Their Applications. Acta Mathematica Scientia. 2021;41(2):349-360.
Li, H. (2021). Martingale Inequalities under G-Expectation and Their Applications. Acta Mathematica Scientia, 41(2), 349-360. https://doi.org/10.1007/s10473-021-0201-6
Li, H. (2021). Martingale Inequalities under G-Expectation and Their Applications. Acta Mathematica Scientia 41, 349-360.
Li, H., 2021. Martingale Inequalities under G-Expectation and Their Applications. Acta Mathematica Scientia, 41(2), p 349-360.
H. Li, “Martingale Inequalities under G-Expectation and Their Applications”, Acta Mathematica Scientia, vol. 41, 2021, pp. 349-360.
Li, H.: Martingale Inequalities under G-Expectation and Their Applications. Acta Mathematica Scientia. 41, 349-360 (2021).
Li, Hanwu. “Martingale Inequalities under G-Expectation and Their Applications”. Acta Mathematica Scientia 41.2 (2021): 349-360.

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