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| Jensen’s Inequality for Backward Stochastic Differential Equations |
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Citation： |
Long JIANG.Jensen’s Inequality for Backward Stochastic Differential Equations[J].Chinese Annals of Mathematics B,2006,27(5):553~564 |
| Page view： 1229
Net amount： 930 |
Authors： |
Long JIANG; |
Foundation： |
Project supported by the National Natural Science Foundation of China (No.10325101) and the Science
Foundation of China University of Mining and Technology. |
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| Abstract： |
Under the Lipschitz assumption and square integrable assumption
on $g$, the author proves that
Jensen's inequality holds for backward stochastic
differential equations with generator $g$ if and
only if $g$ is independent of $y$, $g(t,0)\equiv 0$ and $g$ is super homogeneous with respect to $z$.
This result generalizes the
known results on Jensen's inequality for $g$-expectation in [4, 7--9]. |
Keywords： |
Backward stochastic differential equation, g-Expectation, Jensen’s
inequality for g-expectation, Jensen’s inequality for BSDEs |
Classification： |
60H10 |
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