A note on Jensen's inequality for BSDEs

DOI10.1007/S10114-009-7350-1zbMath1186.60051OpenAlexW2113051970MaRDI QIDQ1044343

Sheng-Jun Fan

Publication date: 11 December 2009

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

Full work available at URL: https://doi.org/10.1007/s10114-009-7350-1

zbMATH Keywords

backward stochastic differential equations\(g\)-expectationJensen's Inequality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (2)

Large sets of pure directed triple systems with index \(\lambda \) ⋮ Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Jensen's inequality for backward stochastic differential equations
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• On Jensen's inequality for \(g\)-expectation
• A property of \(g\)-expectation
• A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions
• Risk measures via \(g\)-expectations
• Ambiguity, Risk, and Asset Returns in Continuous Time

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