MARTINGALE INEQUALITIES UNDER G-EXPECTATION AND THEIR APPLICATIONS

来源 :数学物理学报(英文版) | 被引量 : 0次 | 上传用户:BIGSKYKING
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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.
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