On Jensen's inequality and Hölder's inequality for \(g\)-expectation (Q974648): Difference between revisions
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Revision as of 01:07, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | On Jensen's inequality and Hölder's inequality for \(g\)-expectation |
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On Jensen's inequality and Hölder's inequality for \(g\)-expectation (English)
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4 June 2010
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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.
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backward stochastic differential equations
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\(g\)-expectation
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Jensen's inequality
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Hölder's inequality
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Minkowski's inequality
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non-linear expectation
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