A complete representation theorem for G-martingales

By Shige Peng, Yongsheng Song, Jianfeng Zhang. 2012

63 citations recorded by the source corpus.

In this article, we establish a complete representation theorem for G-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.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2a93c0d101dbfb193009cfc3ee403e7974654d18

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Yongsheng Song
2. Shige Peng
3. Mingshang Hu
4. Shaolin Ji
5. Li-Xin Zhang
6. Joerg Vorbrink

In Finance

1. Mingshang Hu
2. Yongsheng Song
3. Shige Peng
4. Shaolin Ji
5. Marcel Nutz
6. Jianfeng Zhang
7. Li-Xin Zhang
8. Nizar Touzi

In Management Science and Operations Research

1. Yongsheng Song
2. Mingshang Hu
3. Shige Peng
4. Shaolin Ji
5. Marcel Nutz
6. Jianfeng Zhang
7. Li-Xin Zhang
8. Nizar Touzi

Citations in the corpus

• Uniqueness of the representation for $G$-martingales with finite variation (2010, background): “In [8] more properties were developed about the functional d defined in (1.”
• Backward stochastic differential equations driven by G-Brownian motion (2012, methodology): “This difficult problem was solved after a series of successive efforts of Soner, Touzi & Zhang [25, 2011] and Song [27, 2011], [28, 2012].”