A complete representation theorem for G -martingales.

Authors :: Peng, Shige
Song, Yongsheng
Zhang, Jianfeng
Source :: Stochastics: An International Journal of Probability & Stochastic Processes. Jul2014, Vol. 86 Issue 4, p609-631. 23p.
Publication Year :: 2014
Abstract: In this article, we establish a complete representation theorem forG-martingales. Unlike the existing results in the literature, we provide the existence and uniqueness of the second-order term, which corresponds to the second-order derivative in Markovian case. The main ingredient of the article is a new norm for that second-order term, which is based on an operator introduced by Song. [ABSTRACT FROM AUTHOR]

Subjects :: *MARTINGALES (Mathematics)
*REPRESENTATION theory
*UNIQUENESS (Mathematics)
*DERIVATIVES (Mathematics)
*MARKOV spectrum

Language :: English
ISSN :: 17442508
Volume :: 86
Issue :: 4
Database :: Academic Search Index
Journal :: Stochastics: An International Journal of Probability & Stochastic Processes
Publication Type :: Academic Journal
Accession number :: 97015892
Full Text :: https://doi.org/10.1080/17442508.2013.865130