Moment inequality and Hölder inequality for BSDEs

DOI10.1007/S10255-007-7035-4zbMath1178.60042OpenAlexW2121966849MaRDI QIDQ1036887

Sheng-Jun Fan

Publication date: 13 November 2009

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-007-7035-4

zbMATH Keywords

backward stochastic differential equationHölder inequality for BSDEsMinkowski inequality for BSDEsmoment inequality for BSDEs

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Jensen's inequality for backward stochastic differential equations
• On Jensen's inequality for \(g\)-expectation
• A property of \(g\)-expectation
• Asymptotic expansions of transition densities for hybrid jump-diffusions
• Ambiguity, Risk, and Asset Returns in Continuous Time

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