Jensen's inequality for g-expectation, Part 2

被引：21

作者：

Chen, ZJ ^{[1
]}

Kulperger, R

Jiang, L

机构：

[1] Shandong Univ, Dept Math, Jinan 250100, Peoples R China

[2] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON, Canada

来源：

COMPTES RENDUS MATHEMATIQUE | 2003年 / 337卷 / 12期

基金：

加拿大自然科学与工程研究理事会; 中国国家自然科学基金;

关键词：

D O I：

10.1016/j.crma.2003.09.037

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Chen et al. (C.R. Acad. Sci. Paris, Ser. 1337 (11) (2003)) studied a Jensen's inequality for g-expectation under the assumption that g does not depend on (t,y). In this Note we consider some applications of this inequality.

引用

页码：797 / 800

页数：4

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