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G-Martingale Representation Theorem

Springer Nature, (2019), 147-156
DOI: 10.1007/978-3-662-59903-7_7
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Abstract

In Sect. 4.2 of Chap. 4, we presented a new type of G-martingale representation showing that a G-martingale can decomposed into a symmetric one and a decreasing one. Based on this idea, we now provide a complete and rigorous proof of this representation theorem for an LG2 -martingale.

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APA

Peng, S. (2019). G-Martingale Representation Theorem. In Probability Theory and Stochastic Modelling (Vol. 95, pp. 147–156). Springer Nature. https://doi.org/10.1007/978-3-662-59903-7_7

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