A general Doob-Meyer-Mertens decomposition for g-supermartingale systems
Work
Year: 2016
Type: article
Abstract: We provide a general Doob-Meyer decomposition for $g$-supermartingale systems, which does not require any right-continuity on the system, nor that the filtration is quasi left-continuous. In particula... more
Authors Bruno Bouchard, Dylan Possamaï, Xiaolu Tan
Institutions Centre de Recherche en Économie et Statistique, Centre de Recherche en Mathématiques de la Décision
Cites: 55
Cited by: 13
Related to: 10
FWCI: 4.386
Citation percentile (by year/subfield): 92.51
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $675