| Jensen's Inequality for Backward Stochastic Differential Equations |
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| 引用本文： | 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.. Jensen's Inequality for Backward Stochastic Differential Equations[J]. 数学年刊B辑(英文版), 2006, 27(5) |
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| 作者姓名： | 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. |
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| 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. |
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| 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].
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Jensen''''s Inequality for Backward Stochastic Differential Equations |
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| Long JIANG. Jensen''''s Inequality for Backward Stochastic Differential Equations[J]. Chinese Annals of Mathematics,Series B, 2006, 27(5) |
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| Authors: | Long JIANG |
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| 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]. |
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| Keywords: | Backward stochastic differential equation g-Expectation Jensen's inequality for g-expectation Jensen's inequality for BSDEs |
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