| g-期望关于凸(凹)函数的Jensen不等式 |
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| 引用本文： | 范胜君. g-期望关于凸(凹)函数的Jensen不等式[J]. 数学年刊A辑(中文版), 2006, 0(5) |
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| 作者姓名： | 范胜君 |
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| 作者单位： | 中国矿业大学理学院 江苏 |
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| 基金项目： | 中国矿业大学科技基金(No．200409)资助的项目． |
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| 摘 要： | 在文[8]的基础上和彭实戈提出的关于g-期望的最基本的条件下,证明了g-期望关于凸(凹)函数的Jensen不等式在一般意义下成立当且仅当g是关于(y,z)的超齐次(次齐次)生成元且不依赖于y．
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| 关 键 词： | 倒向随机微分方程 Jensen不等式 ｇ-期望 条件ｇ-期望 比较定理 |
Jensen's Inequality for g-Expectation on Convex (Concave) Function |
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| FAN Shengjun College of Sciences,China University of Mining and Technology,Xuzhou ,Jiangsu,China.. Jensen's Inequality for g-Expectation on Convex (Concave) Function[J]. Chinese Annals of Mathematics, 2006, 0(5) |
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| Authors: | FAN Shengjun College of Sciences China University of Mining Technology Xuzhou Jiangsu China. |
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| Affiliation: | FAN Shengjun~* *College of Sciences,China University of Mining and Technology,Xuzhou 221008,Jiangsu,China. |
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| Abstract: | Under the most elementary conditions with respect to g-expectation introduced by Peng S.,based on [8],this paper prove that Jensen's inequality for g-expectation on convex(resp.concave)function holds in general if and only if the g is a super-homogeneous (resp.sub-homogeneous)generator in(y,z)and does not depend on y. |
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| Keywords: | Backward stochastic Differential equation Jensen's inequality g-Expectation Conditional g-expectation Comparison theorem |
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