Jensen's inequality for filtration consistent nonlinear expectation without domination condition
type: Item
instance of: scholarly article
title: Jensen's inequality for filtration consistent nonlinear expectation without domination condition
zbMATH Open document ID: 1159.60014
author: Shengjun Fan
published in: Journal of Mathematical Analysis and Applications
publication date: 2008-07-10T00:00:00Z
review text: A nonlinear expectation is a functional \(\mathcal{E}\) defined on real integrable variables \(\xi\), which preserves the order, which preserves the constants, but which is generally not linear. If moreover one is given a filtration \(\mathcal{F}_t\), the nonlinear expectation is said to be filtration consistent if conditional expectations \(\mathcal{E}[\xi|\mathcal{F}_t]\) exist. The aim of this article is to study Jensen's inequality for these conditional expectations. This problem has already been studied for \(g\)-expectations, which are a particular class of nonlinear expectations (this particular class can be studied with the help of backward stochastic differential equations); here the general case is considered. The main result states that Jensen's inequality on \(\mathcal{E}[\phi(\xi)|\mathcal{F}_t]\) holds for any convex function \(\phi\) (such that \(\xi\) and \(\phi(\xi)\) are integrable) if and only if it holds for affine functions. Necessary and sufficient conditions for Jensen's inequality on \(\mathcal{E}[\phi(\xi,\eta)|\mathcal{F}_t]\) are also given.
reviewed by: Jean Picard
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 60G99
zbMATH DE Number: 5299471
zbMATH Keywords: Jensen's inequality
zbMATH Keywords: filtration consistent nonlinear expectation
zbMATH Keywords: conditional nonlinear expectation
zbMATH Keywords: \(g\)-expectation
MaRDI profile type: Publication
full work available at URL: j.jmaa.2008.04.037
OpenAlex ID: W1996829270
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DOI: 10.1016/J.JMAA.2008.04.037
description: scientific article; zbMATH DE number 5299471