A note on Jensen's inequality for BSDEs (Q1044343): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s10114-009-7350-1 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2113051970 / rank | |||
Normal rank |
Revision as of 19:41, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A note on Jensen's inequality for BSDEs |
scientific article |
Statements
A note on Jensen's inequality for BSDEs (English)
0 references
11 December 2009
0 references
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.
0 references
Jensen's Inequality
0 references
backward stochastic differential equations
0 references
\(g\)-expectation
0 references