| Jensen's Inequality for Backward Stochastic Differential Equations |
| |
| 作者姓名： | Long JIANG |
| |
| 作者单位： | Long JIANG Department of Mathematics，China University of Mining and Technology，Xuzhou 221008，Jiangsu，China; School of Mathematical Sciences，Fudan University，Shanghai 200433，China; School of Mathematics and System Sciences，Shandong University，Jinan 250100，China. |
| |
| 摘 要： | 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].
|
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). |
| |
| Authors: | Long JIANG |
| |
| 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]. |
| |
| Keywords: | Backward stochastic differential equation g-Expectation Jensen's inequality for g-expectation Jensen's inequality for BSDEs |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
