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| ON JENSEN’S INEQUALITY FOR g-EXPECTATION |
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Citation： |
JIANG Long,CHEN Zengjing.ON JENSEN’S INEQUALITY FOR g-EXPECTATION[J].Chinese Annals of Mathematics B,2004,25(3):401~412 |
| Page view： 1557
Net amount： 961 |
Authors： |
JIANG Long; CHEN Zengjing |
Foundation： |
Project supported by the National Natural Science Foundation of China (No.10131030). |
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| Abstract： |
Briand et al. gave a counterexample showing that given $g$,
Jensen's inequality for $g$-expectation usually does not hold in
general. This paper proves that Jensen's inequality for
$g$-expectation holds in general if and only if the generator
$g\left(t, z\right) $ is super-homogeneous in $z$. In particular,
$g$ is not necessarily convex in $z$. |
Keywords： |
Backward stochastic differential equation, Jensen’s inequality, g-expectation, Conditional g-expectation, Comparison theorem |
Classification： |
60H10 |
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