Jensen's inequality for \(g\)-expectations in general filtration spaces

DOI10.1016/J.SPL.2020.108958zbMath1455.60072OpenAlexW3092123851MaRDI QIDQ826705

Panyu Wu, Wenjie Song, Guo-Dong Zhang

Publication date: 6 January 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108958

zbMATH Keywords

filtrationJensen's inequality\(g\)-expectationbackward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

• Unnamed Item
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• Jensen's inequality for filtration consistent nonlinear expectation without domination condition
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• Well-posedness of backward stochastic differential equations with general filtration
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• Risk measures via \(g\)-expectations
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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