Jensen's inequality for \(g\)-convex function under \(g\)-expectation

DOI10.1007/s00440-009-0206-xzbMath1188.60030arXiv0802.0373OpenAlexW2072594430MaRDI QIDQ2380767

Guangyan Jia, Shige Peng

Publication date: 12 April 2010

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.0373

zbMATH Keywords

\(g\)-expectation\(g\)-convex\(g\)-affine functions\(g\)-concave functionsbackward stochastic viability

Mathematics Subject Classification ID

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

Related Items (8)

Jensen's inequality for \(g\)-expectations in general filtration spaces ⋮ A note on \(g\)-concave function ⋮ Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation ⋮ Some properties of \(g\)-convex functions ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ Jensen's inequality under nonlinear expectation generated by BSDE with jumps ⋮ Quadratic \(g\)-convexity, \(C\)-convexity and their relationships ⋮ Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion

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