Jensen's inequality for generalized Peng's \(g\)-expectations and its applications

DOI10.1155/2013/683047zbMath1279.60034OpenAlexW2040480880WikidataQ58916609 ScholiaQ58916609MaRDI QIDQ370129

Zhaojun Zong

Publication date: 19 September 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/683047

zbMATH Keywords

Jensen's inequalityPeng's \(g\)-expectations

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99)

Related Items (1)

On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Generalized Peng's \(g\)-expectations and related properties
• Jensen's inequality for backward stochastic differential equations
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• 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
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Minimax pricing and Choquet pricing
• \(L^p\) solutions of backward stochastic differential equations.
• Representation theorems for generators of backward stochastic differential equations and their applications
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

This page was built for publication: Jensen's inequality for generalized Peng's \(g\)-expectations and its applications