Publication Date:
2014-03-03
Description:
We prove that a continuous -supermartingale with uniformly continuous coeffcient on finite or infinite horizon, is a -supersolution of the corresponding backward stochastic differential equation. It is a new nonlinear Doob-Meyer decomposition theorem for the -supermartingale with continuous trajectory.
Print ISSN:
1110-757X
Electronic ISSN:
1687-0042
Topics:
Mathematics