| Jensen’s Inequality for Backward Stochastic Differential Equations |
| |
| 作者姓名： | Long JIANG |
| |
| 摘 要： |
|
| 关 键 词： | 向后随机微分方程 g期望 Jensen不等式 BSDEs |
| 收稿时间： | 9 March 2005 |
| 修稿时间： | 2026/12/5 0:00:00 |
Jensen’s Inequality for Backward Stochastic Differential Equations* |
| |
| Long JIANG.Jensen’s Inequality for Backward Stochastic Differential Equations*[J].Chinese Annals of Mathematics,Series B,2006,27(5):553-564. |
| |
| Authors: | Long JIANG |
| |
| Institution: | (1) Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, Jiangsu, China;(2) School of Mathematical Sciences, Fudan University, Shanghai 200433, China;(3) School of Mathematics and System Sciences, Shandong University, Jinan 250100, China |
| |
| Abstract: | 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) ≡ 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].
*Project supported by the National Natural Science Foundation of China (No.10325101) and the Science Foundation of China University
of Mining and Technology. |
| |
| Keywords: | Backward stochastic differential equation g-Expectation Jensen’ s inequality for g-expectation Jensen’ s inequality for BSDEs |
| 本文献已被 维普 SpringerLink 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)》下载免费的PDF全文 |
