Discrete-Time G-Martingale and Application

  • Guichang Zhang
  • Published 2008 in
    2008 4th International Conference on Wireless…

Abstract

As we know, from some special 1-dimensional BSDEs we can get the g-expectation and g-martingale. What will it be in discretization situation? At first, some results about discretization-type backward stochastic equation are given in section 2. Then we give the corresponding definitions of g<sup>n</sup>-expectation and g<sup>n</sup>-martingale in… (More)

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Cite this paper

@article{Zhang2008DiscreteTimeGA, title={Discrete-Time G-Martingale and Application}, author={Guichang Zhang}, journal={2008 4th International Conference on Wireless Communications, Networking and Mobile Computing}, year={2008}, pages={1-4} }