Title :
Discrete-Time G-Martingale and Application
Author_Institution :
Econ. Dept., Ocean Univ. of China, Qingdao
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;
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
DOI :
10.1109/WiCom.2008.2270
