Jensen's inequality for backward stochastic differential equations

DOI10.1007/s11401-005-0077-0zbMath1109.60042OpenAlexW2082828702MaRDI QIDQ867437

Long Jiang

Publication date: 15 February 2007

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11401-005-0077-0

Mathematics Subject Classification ID

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

Related Items (14)

Jensen's inequality for \(g\)-expectations in general filtration spaces ⋮ Jensen's inequality for \(g\)-convex function under \(g\)-expectation ⋮ \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications ⋮ A note on \(g\)-concave function ⋮ Jensen's inequality for generalized Peng's \(g\)-expectations and its applications ⋮ On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations ⋮ Representation theorem and viability property for multidimensional BSDEs and their applications ⋮ Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\) ⋮ Jensen's inequality for filtration consistent nonlinear expectation without domination condition ⋮ On Jensen's inequality and Hölder's inequality for \(g\)-expectation ⋮ Jensen's inequality under nonlinear expectation generated by BSDE with jumps ⋮ Moment inequality and Hölder inequality for BSDEs ⋮ A note on Jensen's inequality for BSDEs ⋮ Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion

Cites Work

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• Adapted solution of a backward stochastic differential equation
• 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
• On Jensen's inequality for \(g\)-expectation
• A property of \(g\)-expectation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• A general converse comparison theorem for backward stochastic differential equations
• Ambiguity, Risk, and Asset Returns in Continuous Time

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