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Some Norm Estimates for Semimartingales--- Under Linear and Nonlinear Expectations
Martingale semimartingale quasimartingale G-expectation G-martingale G-semimartingale Doob-Meyer decompostition
2011/9/15
Abstract: In this paper we introduce two types of norms for semimartingales, under both linear and nonlinear expectations. The first norm is motivated by quasimartingales, and characterizes square int...
Convergence of the Euler-Maruyama method for stochastic differential equations with respect to semimartingales
Itˆ o’s formula Euler-Maruyama method Lipschitz condition
2010/9/16
In this paper, we study the stochastic differential equations with respect to semimartingales and the property of convergence of the Euler-Maruyama scheme approximations to the exact solutions.