MARTINGALE INEQUALITIES UNDER G-EXPECTATION AND THEIR APPLICATIONS

• 来源期刊: 数学物理学报（英文版）
• 年，卷（期）: 2021,（2）
• 页码范围: 349-360
• 页数: 12页
• 语种: 英文
• DOI: 10.3969/j.issn.0252-9602.2021.02.001

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.