Nonlinear Doob-Meyer decomposition with jumps

被引：9
|
作者：
Lin, QQ [1 ]
机构：
[1] Renmin Univ China, Sch Finance, China Financial Policy Res Ctr, Beijing 100872, Peoples R China
来源：
ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2003年 / 19卷 / 01期
关键词：
g-supersolution; g-supermartingale; Poisson process; nonlinear Doob-Meyer decomposition;
D O I：
10.1007/s10114-002-0218-2
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Concepts of g-supersolution, g-martingale, g-supermartingale are introduced, which are related to BSDE with Brownian motion and Poisson point process. A strict comparison theorem, monotonic limit theorem related to this type of BSDE are also discussed. As an application of these results, a nonlinear Doob-Meyer decomposition theorem is obtained.
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页码：69 / 78
页数：10
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