On Jensen's inequality for g-expectation

被引：18

作者：

Jiang, L ^{[1
]}

Chen, ZJ

机构：

[1] Shandong Univ, Sch Math & Syst Sci, Jinan 250100, Peoples R China

[2] China Univ Min & Technol, Dept Math, Jiangsu 221008, Peoples R China

[3] Shandong Univ, Sch Math & Syst Sci, Jinan 250100, Peoples R China

来源：

CHINESE ANNALS OF MATHEMATICS SERIES B | 2004年 / 25卷 / 03期

关键词：

backward stochastic differential equation; Jensen's inequality; g-expectation; comparison theorem;

D O I：

10.1142/S0252959904000378

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Briand et al. gave a counterexample showing that given g, Jensen's inequality for g-expectation usually does not hold in general. This paper proves that Jensen's inequality for g-expectation holds in general if and only if the generator g(t, z) is super-homogeneous in z. In particular, g is not necessarily convex in z.

引用

页码：401 / 412

页数：12

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