Jensen's inequality for \(g\)-expectation. I

DOI10.1016/j.crma.2003.09.017zbMath1031.60014OpenAlexW1980174714MaRDI QIDQ1420171

Long Jiang, Reg J. Kulperger, Zeng-Jing Chen

Publication date: 28 January 2004

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2003.09.017

Mathematics Subject Classification ID

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

Related Items (35)

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Cites Work

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• Adapted solution of a backward stochastic differential equation
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A general downcrossing inequality for \(g\)-martingales
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

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