Martingale Decomposition and BSDE on Time Scales

Abstract

In this paper, we present martingale decomposition on time scales. We establish the related backward stochastic dynamic equations on time scales (this paper BS$\nabla$E for short, concerning $\nabla$-integral on time scales) which unify backward stochastic differential equations and backward stochastic difference equations. We prove the existence and uniqueness theorem of BS$\nabla$E. This work can be considered as a unification and a generalization of similar results in backward stochastic difference equations and backward stochastic differential equations.