数学物理学报(英文版) ›› 2021, Vol. 41 ›› Issue (2): 349-360.doi: 10.1007/s10473-021-0201-6
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李邯武
Hanwu LI
摘要: 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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