On Jensen's inequality and Hölder's inequality for \(g\)-expectation (Q974648): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 20:42, 30 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On Jensen's inequality and Hölder's inequality for \(g\)-expectation |
scientific article |
Statements
On Jensen's inequality and Hölder's inequality for \(g\)-expectation (English)
0 references
4 June 2010
0 references
The author proves that, for \(n>1\), the \(n\)-dimensional Jensen's inequality holds for the \(g\)-expectation if and only if the generator \(g \equiv g(\cdot, t, y, z)\) defined on \(\Omega \times [0, T]\times \mathbb{R} \times \mathbb{R}^d\) is independent of \(y\) and linear in \(z\). Applications are made to Minkowski's and Hölder's inequalities.
0 references
backward stochastic differential equations
0 references
\(g\)-expectation
0 references
Jensen's inequality
0 references
Hölder's inequality
0 references
Minkowski's inequality
0 references
non-linear expectation
0 references