364 research outputs found
Some properties on -evaluation and its applications to -martingale decomposition
In this article, a sublinear expectation induced by -expectation is
introduced, which is called -evaluation for convenience. As an application,
we prove that any with some the
decomposition theorem holds and any integrable symmetric
-martingale can be represented as an It integral w.r.t
-Brownian motion. As a byproduct, we prove a regular property for
-martingale: Any -martingale has a quasi-continuous versionComment: 22 page
Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections
In this paper, we study the reflected backward stochastic differential
equations driven by G-Brownian motion with two reflecting obstacles, which
means that the solution lies between two prescribed processes. A new kind of
approximate Skorohod condition is proposed to derive the uniqueness and
existence of the solutions. The uniqueness can be proved by a priori estimates
and the existence is obtained via a penalization method
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