A note on \(g\)-concave function

DOI10.1007/s10473-019-0518-6zbMath1499.60190OpenAlexW2957055446MaRDI QIDQ2151001

Guangyan Jia, Yu-hong Xu

Publication date: 30 June 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10473-019-0518-6

zbMATH Keywords

Jensen's inequality\(g\)-expectationrisk aversion\(g\)-convexity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Convexity of real functions in one variable, generalizations (26A51) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Jensen's inequality for backward stochastic differential equations
• Jensen's inequality for \(g\)-expectation. I
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Quadratic \(g\)-convexity, \(C\)-convexity and their relationships
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• Some properties of \(g\)-convex functions
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• A general converse comparison theorem for backward stochastic differential equations
• On Quadraticg-Evaluations/Expectations and Related Analysis
• Stochastic Differential Utility

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