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Norm Estimates For Semimartingales And Applications To Stochastic Games.pdf

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Preview of Norm Estimates for Semimartingales and Applications to Stochastic Games
🔗 Source: dornsife.usc.edu
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📄 Pages: 26 pages
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Summary

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 we conjecture to be a semimartingale under a class of probability measures under some conditions. The norm introduced here seems to be the right one to study general square integrable semimartingales, and it is also suitable for studying semimartingales under nonlinear expectation. Using a similar idea, we introduce a new norm for the barriers of doubly reflected backward stochastic differential equations (BSDEs) and establish some a priori estimates for the solutions. Our norm provides an alternative but more tractable characterization for the standard Mokobodski's condition in the literature.

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Description

This paper introduces a novel norm for semimartingales, characterized by square integrability, offering insights into zero-sum stochastic differential games and providing a tractable framework for studying general semimartingales and their barriers in the context of doubly reflected BSDEs.

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  • File Format: PDF
  • File Size: 537 KB
  • Pages: 26
  • Language: EN
  • Total Downloads: 21
  • Last Updated: 4 weeks ago

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