The application of multi-dimensional Jensen’s inequality for G-martingale

DOI10.1080/07362994.2019.1585264zbMath1488.60158OpenAlexW2929533723MaRDI QIDQ5379270

Bao Kang Yuan

Publication date: 28 May 2019

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2019.1585264

zbMATH Keywords

Jensen's inequality\(G\)-expectation\(G\)-martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Convex measures of risk and trading constraints
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• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Coherent Measures of Risk
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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