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Martingale Decomposition and Backward Stochastic Dynamic Equations on Time Scales

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  • Guofeng Tang
  • Guangyan Jia
  • Barbara Martinucci

Abstract

The paper aims to establish the related backward stochastic dynamic equations on time scales, BS ∇ Es for short, concerning to ∇-integral on time scales. We present the martingale decomposition theorem on time scales and prove the existence and uniqueness theorem of solutions to BS ∇ Es. This work can be considered as a unification and a generalization of similar results in backward stochastic difference equations and backward stochastic differential equations.

Suggested Citation

  • Guofeng Tang & Guangyan Jia & Barbara Martinucci, 2022. "Martingale Decomposition and Backward Stochastic Dynamic Equations on Time Scales," Journal of Mathematics, Hindawi, vol. 2022, pages 1-12, May.
    • Handle: RePEc:hin:jjmath:6217582
    DOI: 10.1155/2022/6217582
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