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Infinite time interval BSDEs and the convergence of g-martingales

Part of: Stochastic processes Stochastic analysis

Published online by Cambridge University Press:  09 April 2009

Zengjing Chen  and
Bo Wang
Bo Wang
Affiliation:
Department of Mathematics Shandong UniversityJinan Shandong 250100 P. R.China
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Abstract

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In this paper, we first give a sufficient condition on the coefficients of a class of infinite time interval backward stochastic differential equations (BSDEs) under which the infinite time interval BSDEs have a unique solution for any given square integrable terminal value, and then, using the infinite time interval BSDEs, we study the convergence of g-martingales introduced by Peng via a kind of BSDEs. Finally, we study the applications of g-expectations and g-martingales in both finance and economics.

Keywords

infinite time interval BSDEsg-expectationg-martingaleupcrossing inequality of g-martingaleconvergence of g-martingale

MSC classification

Secondary: 60H10: Stochastic ordinary differential equations 60G48: Generalizations of martingales
Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 69 , Issue 2 , October 2000 , pp. 187 - 211
Copyright
Copyright © Australian Mathematical Society 2000

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