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2013 Some norm estimates for semimartingales
Triet Pham, Jianfeng Zhang
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Electron. J. Probab. 18: 1-25 (2013). DOI: 10.1214/EJP.v18-2406


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.


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Triet Pham. Jianfeng Zhang. "Some norm estimates for semimartingales." Electron. J. Probab. 18 1 - 25, 2013.


Accepted: 30 December 2013; Published: 2013
First available in Project Euclid: 4 June 2016

zbMATH: 1288.60054
MathSciNet: MR3151729
Digital Object Identifier: 10.1214/EJP.v18-2406

Primary: 60G46
Secondary: 60H10 , 60H30

Keywords: $g$-expectation , Doob-Meyer decompostition , doubly reflected backward SDEs , quasimartingale , second order backward SDEs , Semimartingale

Vol.18 • 2013
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