On Jensen's inequality and Hölder's inequality for \(g\)-expectation
DOI10.1007/S00013-010-0117-1zbMath1203.60024OpenAlexW1966791701MaRDI QIDQ974648
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
Jensen's inequalitybackward stochastic differential equations\(g\)-expectationHölder's inequalityMinkowski's inequalitynon-linear expectation
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)
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Cites Work
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- 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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