On Jensen's inequality for \(g\)-expectation

DOI10.1142/S0252959904000378zbMath1062.60057MaRDI QIDQ1766411

Long Jiang, Zeng-Jing Chen

Publication date: 7 March 2005

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

zbMATH Keywords

comparison theorembackward stochastic differential equationconditional \(g\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions ⋮ Jensen's inequality for backward stochastic differential equations ⋮ On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations ⋮ Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation ⋮ Some properties of \(g\)-convex functions ⋮ A limit theorem for solutions to BSDEs in the space of processes ⋮ Jensen's inequality for filtration consistent nonlinear expectation without domination condition ⋮ Continuous dependence properties on solutions of backward stochastic differential equation ⋮ Properties of solution of fractional backward stochastic differential equation ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes ⋮ Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation ⋮ Maximal inequalities for \(g\)-martingales ⋮ Law of large numbers under the nonlinear expectation ⋮ Moment inequality and Hölder inequality for BSDEs ⋮ A note on Jensen's inequality for BSDEs ⋮ Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion