关于g-上鞅的上穿不等式和强g-上鞅(Ⅱ)  

On Upcrossing Inequality for g-Supermartingale and Strong g-Supermartingale(Ⅱ)

作　　者：司徒荣[1] 杨艳[1] 

机构地区：[1]中山大学统计系,广东广州510275

出　　处：《中山大学学报（自然科学版）》2003年第6期1-3,共3页Acta Scientiarum Naturalium Universitatis Sunyatseni

基　　金：国家自然科学基金重大资助项目(79790130)

摘　　要：继续研究了g＿上鞅的收敛定理,右连续修正以及其他性质,得出g＿上鞅的右连续修正样本是强g＿上鞅。文章的讨论与结果在连续的情形已证实可应用于g＿上鞅的非线性Doob＿Meyer分解的讨论,及不完全金融市场的期权定价及经济理论的效用函数的讨论中。因此,在带跳情形,也将可有类似应用。This paper goes on improving the Convergence Theorem,the right-continuous modification and other properties of g-martingale. It also shows that the right-continuous modification of any g-supermartingale is a strong g-supermartingale. What the paper introduced in the case of continuity has been proved that it can be applied to the discussions for g-supermartingale of the nonlinear Doob-Meyer decomposition,to the contingent claims pricing in the incomplete markets and to the utility functions in economic theory.So that it will have the same applications in the case with jumps.

关 键 词：带跳倒向随机微分方程 BSDE G-上鞅 强g-上鞅 GIRSANOV定理 ITO公式 GRONWALL不等式 上穿不等式 

分 类 号：O241.8[理学—计算数学]