Martingale Representation Theorem for the G-Expectation
Martingale Representation Theorem for the G-Expectation
This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order stochastic target problems and the second order backward stochastic differential equations. In …