Jensen's inequality for g-expectation:: part 1

被引：39

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 / 11期

基金：

中国国家自然科学基金; 加拿大自然科学与工程研究理事会;

关键词：

D O I：

10.1016/j.crma.2003.09.017

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Briand et al. (Electron. Comm. Probab. 5 (2000) 101-117) gave a counterexample and proposition to show that given g, g-expectations usually do not satisfy Jensen's inequality for most of convex functions. This yields a natural question, under which conditions on g, do g-expectations satisfy Jensen's inequality for convex functions? In this paper, we shall deal with this question in the case that g is convex and give a necessary and sufficient condition on g under which Jensen's inequality holds for convex functions. (C) 2003 Academie des sciences. Published by Elsevier SAS. All rights reserved.

引用

页码：725 / 730

页数：6

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