MARTINGALE INEQUALITIES UNDER G-EXPECTATION AND THEIR APPLICATIONS  

作　　者：Hanwu LI 李邯武(Center for Mathematical Economics,Bielefeld University,Bielefeld 33615,Germany)

机构地区：[1]Center for Mathematical Economics,Bielefeld University,Bielefeld 33615,Germany

出　　处：《Acta Mathematica Scientia》2021年第2期349-360,共12页数学物理学报（B辑英文版）

基　　金：supported by the German Research Foundation(DFG)via CRC 1283.

摘　　要：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.

关 键 词：G-EXPECTATION G-supermartingale upcrossing inequality 

分 类 号：O211.67[理学—概率论与数理统计]