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Some norm estimates for semimartingales


 
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1. Title Title of document Some norm estimates for semimartingales
 
2. Creator Author's name, affiliation, country Triet Pham; Rutgers University; United States
 
2. Creator Author's name, affiliation, country Jianfeng Zhang; University of Southern California; United States
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Semimartingale, quasimartingale, $G$-expectation, second order backward SDEs, doubly reflected backward SDEs, Doob-Meyer decompostition
 
3. Subject Subject classification 60G46, 60H10, 60H30
 
4. Description Abstract In this paper we introduce a new type of norms for semimartingales, under both linear and nonlinear expectations. Our norm is defined in the spirit of  quasimartingales, and it characterizes square integrable semimartingales. This work is motivated by our study of zero-sum stochastic differential games, whose value process is conjectured to be a semimartingale under a class of probability measures.  As a by product, we establish some a priori estimates for doubly reflected BSDEs without imposing  the  Mokobodski's condition directly.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NSF
 
7. Date (YYYY-MM-DD) 2013-12-30
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2406
 
10. Identifier Digital Object Identifier 10.1214/EJP.v18-2406
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 18
 
12. Language English=en en
 
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