Jensen's inequality for generalized Peng's \(g\)-expectations and its applications (Q370129): Difference between revisions

Summary: We study Jensen's inequality for generalized Peng's \(g\)-expectations and give four equivalent conditions on Jensen's inequality for generalized Peng's \(g\)-expectations without the assumption that the generator \(g\) is continuous with respect to \(t\). This result includes and extends some existing results. Furthermore, we give some applications of Jensen's inequality for generalized Peng's \(g\)-expectations.

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zbMATH Keywords

Jensen's inequality

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Peng's \(g\)-expectations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1155/2013/683047

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cites work

Adapted solution of a backward stochastic differential equation

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A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

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Q4357507

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A converse comparison theorem for BSDEs and related properties of \(g\)-expectation

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Jensen's inequality for \(g\)-expectation. I

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Jensen's inequality for \(g\)-expectation. II

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Representation theorems for generators of backward stochastic differential equations and their applications

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On Jensen's inequality for \(g\)-expectation and for nonlinear expectation

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Jensen's inequality for backward stochastic differential equations

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\(L^p\) solutions of backward stochastic differential equations.

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Generalized Peng's \(g\)-expectations and related properties

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Minimax pricing and Choquet pricing

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Filtration-consistent nonlinear expectations and related \(g\)-expectations

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Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type

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Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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Identifiers

zbMATH Open document ID

1279.60034

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DOI

10.1155/2013/683047

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:370129

@@ Property / review text @@
+Summary: We study Jensen's inequality for generalized Peng's \(g\)-expectations and give four equivalent conditions on Jensen's inequality for generalized Peng's \(g\)-expectations without the assumption that the generator \(g\) is continuous with respect to \(t\). This result includes and extends some existing results. Furthermore, we give some applications of Jensen's inequality for generalized Peng's \(g\)-expectations.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E15
@@ Property / Mathematics Subject Classification ID: 60E15 / rank @@
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+G99
@@ Property / Mathematics Subject Classification ID: 60G99 / rank @@
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+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
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@@ Property / zbMATH DE Number @@
+6209399
@@ Property / zbMATH DE Number: 6209399 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Jensen's inequality
@@ Property / zbMATH Keywords: Jensen's inequality / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Peng's \(g\)-expectations
@@ Property / zbMATH Keywords: Peng's \(g\)-expectations / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q58916609
@@ Property / Wikidata QID: Q58916609 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1155/2013/683047
+Normal rank
@@ Property / OpenAlex ID @@
+W2040480880
@@ Property / OpenAlex ID: W2040480880 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
+Normal rank
@@ Property / cites work @@
+Q4357507
@@ Property / cites work: Q4357507 / rank @@
+Normal rank
@@ Property / cites work @@
+A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
+Normal rank
@@ Property / cites work @@
+Jensen's inequality for \(g\)-expectation. I
@@ Property / cites work: Jensen's inequality for \(g\)-expectation. I / rank @@
+Normal rank
@@ Property / cites work @@
+Jensen's inequality for \(g\)-expectation. II
@@ Property / cites work: Jensen's inequality for \(g\)-expectation. II / rank @@
+Normal rank
@@ Property / cites work @@
+Representation theorems for generators of backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
+Normal rank
@@ Property / cites work @@
+Jensen's inequality for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+\(L^p\) solutions of backward stochastic differential equations.
+Normal rank
@@ Property / cites work @@
+Generalized Peng's \(g\)-expectations and related properties
+Normal rank
@@ Property / cites work @@
+Minimax pricing and Choquet pricing
@@ Property / cites work: Minimax pricing and Choquet pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Filtration-consistent nonlinear expectations and related \(g\)-expectations
+Normal rank
@@ Property / cites work @@
+Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:370129