On Jensen’s inequality for g-expectation and for nonlinear expectation |
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Authors: | Ying Hu |
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Institution: | (1) IRMAR, Université Rennes 1, Campus de Beaulieu, F-35042 Rennes Cedex, France |
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Abstract: | In this paper, we give a necessary and sufficient condition for g under which Jensen’s inequality holds for g-expectation. In particular, we show that if Jensen’s inequality holds for g-expectation, then g is independent of y and g is superhomogeneous. We also establish a necessary and sufficient condition under which Jensen’s inequality holds for a general
filtration-consistent nonlinear expectation.
Received: 18 January 2005 |
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Keywords: | 60H10 |
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