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A general downcrossing inequality for g-martingales

✍ Scribed by Zengjing Chen; Shige Peng

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 91 KB
Volume: 46
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(99)00102-9

No coin nor oath required. For personal study only.

✦ Synopsis

In this paper, we get a general downcrossing inequality for g-martingales introduced via a class of backwards stochastic di erential equations (shortly BSDEs).

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