• DocumentCode
    3466411
  • Title

    Discrete-Time G-Martingale and Application

  • Author

    Zhang, Guichang

  • Author_Institution
    Econ. Dept., Ocean Univ. of China, Qingdao
  • fYear
    2008
  • fDate
    12-14 Oct. 2008
  • Firstpage
    1
  • Lastpage
    4
  • Abstract
    As we know, from some special 1-dimensional BSDEs we can get the g-expectation and g-martingale. What will it be in discretization situation? At first, some results about discretization-type backward stochastic equation are given in section 2. Then we give the corresponding definitions of gn-expectation and gn-martingale in discretization situation. At last an application in finance is given.
  • Keywords
    differential equations; stochastic processes; backward stochastic differential equation; discrete-time g-martingale; g-expectation; Convergence; Differential equations; Finance; Oceans; Pricing; Stochastic processes; Tin; Topology; Yttrium;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
  • Conference_Location
    Dalian
  • Print_ISBN
    978-1-4244-2107-7
  • Electronic_ISBN
    978-1-4244-2108-4
  • Type

    conf

  • DOI
    10.1109/WiCom.2008.2270
  • Filename
    4680459
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3466411