Acta mathematica scientia,Series A ›› 2004, Vol. 4 ›› Issue (5): 589-596.

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Nonlinear DoobMeyer Decomposition for gsupermartingales without Lipschitz Condition on g

 LIN Qing-Quan   

  • Online:2004-07-20 Published:2004-07-20
  • Supported by:

    十五建设规划重点科研项目、国家自然科学基金(79790130)资助

Abstract:

The author discusses nonlinear Doobmeyer decompositionfor gsupermartingales with nonlipschitz condition on g. In order to get the result the author  investegates the existence and uniqueness of solution for a class BSDEs with the same driftcoefficient g, the comparison theorem, and lastly the limitation theorem of gsupersolution.

Key words: DoobMeyer Decomposition; , gsupersolution; gsupermartingale, Lipschitz condition.

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