Nonlinear Doob—Meyer Decomposition with Jumps  

作　　者：QingQuanLIN 

机构地区：[1]ChinaFinacialPolicyResearchCenter,SchoolofFinanceofRenminUniversityofChina,Beijing100871

出　　处：《Acta Mathematica Sinica,English Series》2003年第1期69-78,共10页数学学报（英文版）

摘　　要：Concepts of g-supersolution, g-manrtingale, 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.Concepts of g-supersolution, g-manrtingale, 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.

关 键 词：g SUPERSOLUTION g SUPERMARTINGALE Poisson process Nonlinear Doob Meyer decomposition 

分 类 号：O211.6[理学—概率论与数理统计]