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Pré-Publication, Document De Travail Année : 2015

A general Doob-Meyer-Mertens decomposition for g-supermartingale systems

Résumé

We provide a general Doob-Meyer decomposition for g-supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Meyer decomposition of Mertens for classical supermartingales, as well as Peng's version for right-continuous g-supermartingales. As examples of application, we prove an optional decomposition theorem for g-supermartingale systems, and also obtain a general version of the well-known dual formation for BSDEs with constraint on the gains-process, using very simple arguments.
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Dates et versions

hal-01148307 , version 1 (04-05-2015)
hal-01148307 , version 2 (23-07-2015)

Identifiants

  • HAL Id : hal-01148307 , version 1

Citer

Bruno Bouchard, Dylan Possamaï, Xiaolu Tan. A general Doob-Meyer-Mertens decomposition for g-supermartingale systems. 2015. ⟨hal-01148307v1⟩
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