Jensen's inequality for filtration consistent nonlinear expectation without domination condition

DOI10.1016/J.JMAA.2008.04.037zbMath1159.60014OpenAlexW1996829270MaRDI QIDQ932335

Sheng-Jun Fan

Publication date: 10 July 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.04.037

zbMATH Keywords

Jensen's inequality\(g\)-expectationconditional nonlinear expectationfiltration consistent nonlinear expectation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic processes (60G99)

Related Items (3)

Jensen's inequality for \(g\)-expectations in general filtration spaces ⋮ On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations ⋮ \(H_{\infty}\) control of coronary artery input time-delay system via the free-matrix-based integral inequality

Cites Work

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• Jensen's inequality for backward stochastic differential equations
• 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
• BSDE with quadratic growth and unbounded terminal value
• Properties of solutions of BSDEs with integrable parameters
• \(L^p\) solutions of backward stochastic differential equations.
• Ambiguity, Risk, and Asset Returns in Continuous Time

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