|
|||||
|
|
| ON JENSEN’S INEQUALITY FOR g-EXPECTATION | |
| 引用本文： | JIANG Long,CHEN Zengjing. ON JENSEN’S INEQUALITY FOR g-EXPECTATION[J]. 数学年刊B辑(英文版), 2004, 25(3): 401-412 |
| 作者姓名： | JIANG Long CHEN Zengjing |
| 作者单位： | JIANG LONG;CHEN ZENGJING School of Mathematics and System Sciences，Shandong University，Jinan 250100，China. Department of Mathematics，China University of Mining and Technology，Xuzhou 221008，Jiangsu，China. E-mail: jianglong@math.sdu.edu.cn School of Mathematics and System Sciences，Shandong University，Jinan 250100，China. |
| 基金项目： | Project supported by the National Natural Science Foundation of China (No.10131030) |
| 摘 要： | Briand et al. gave a counterexample showing that given g, Jensen's inequalityfor g-expectation usually does not hold in general. This paper proves that Jensen'sinequality for g-expectation holds in general if and only if the generator g(t,z) issuper-homogeneous in z. In particular, g is not necessarily convex in z. |
| 关 键 词： | Backward stochastic differential equation Jensen’s inequality g-expectation Conditional g-expectation Comparison theorem |
| 收稿时间： | 2004-03-03 |
| 修稿时间： | 2009-11-03 |
ON JENSEN''''S INEQUALITY FOR g-EXPECTATION |
|
| JIANG Long and CHEN Zengjing. ON JENSEN''''S INEQUALITY FOR g-EXPECTATION[J]. Chinese Annals of Mathematics,Series B, 2004, 25(3): 401-412 | |
| Authors: | JIANG Long and CHEN Zengjing |
| Affiliation: | 1. School of Mathematics and System Sciences, Shandong University, Jinan 250100, China;Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, Jiangsu, China 2. School of Mathematics and System Sciences, Shandong University, Jinan 250100, China |
| Abstract: | Briand et al. gave a counterexample showing that given g, Jensen's inequalityfor g-expectation usually does not hold in general. This paper proves that Jensen'sinequality for g-expectation holds in general if and only if the generator g(t,z) issuper-homogeneous in z. In particular, g is not necessarily convex in z. |
| Keywords: | Backward stochastic differential equation Jensen's inequality g-expectaation Conditional g-expectation Comparison theorem |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |
| 点击此处可从《数学年刊B辑(英文版)》浏览原始摘要信息 | |
| 点击此处可从《数学年刊B辑(英文版)》下载全文 | |