A note on Jensen's inequality for BSDEs (Q1044343): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on Jensen's inequality for BSDEs |
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A note on Jensen's inequality for BSDEs (English)
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11 December 2009
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This paper is devoted to a generalization of known results on Jensen's Inequality for backward stochastic differential equations (BSDEs). Specifically, the author finds a necessary and sufficient condition on the generator \(g\) of BSDEs for which Jensen's Inequality holds for some specific convex functions.
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Jensen's Inequality
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backward stochastic differential equations
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\(g\)-expectation
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