On Jensen's inequality and Hölder's inequality for \(g\)-expectation

DOI10.1007/S00013-010-0117-1zbMath1203.60024OpenAlexW1966791701MaRDI QIDQ974648

Guangyan Jia

Publication date: 4 June 2010

Published in: Archiv der Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00013-010-0117-1

zbMATH Keywords

Jensen's inequalitybackward stochastic differential equations\(g\)-expectationHölder's inequalityMinkowski's inequalitynon-linear expectation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inequalities involving derivatives and differential and integral operators (26D10)

Related Items (4)

On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations ⋮ The application of multi-dimensional Jensen’s inequality for G-martingale ⋮ Jensen inequality for superlinear expectations ⋮ Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion

Uses Software

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Cites Work

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• Adapted solution of a backward stochastic differential equation
• Jensen's inequality for backward stochastic differential equations
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
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• A uniqueness theorem for the solution of backward stochastic differential equations
• 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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