A note on Jensen's inequality for BSDEs (Q1044343): Difference between revisions

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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Mathematics Subject Classification ID

60H10

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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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MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10114-009-7350-1

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Ambiguity, Risk, and Asset Returns in Continuous Time

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Risk measures via \(g\)-expectations

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A property of \(g\)-expectation

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

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Jensen's inequality for backward stochastic differential equations

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Adapted solution of a backward stochastic differential equation

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A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions

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Sitelinks

Mathematics(1 entry)

mardi Publication:1044343

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+Ambiguity, Risk, and Asset Returns in Continuous Time
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@@ Property / cites work @@
+Risk measures via \(g\)-expectations
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+Normal rank
@@ Property / cites work @@
+A property of \(g\)-expectation
@@ Property / cites work: A property of \(g\)-expectation / 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
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+Normal rank
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+Jensen's inequality for \(g\)-expectation. II
@@ Property / cites work: Jensen's inequality for \(g\)-expectation. II / rank @@
+Normal rank
@@ Property / cites work @@
+On Jensen's inequality for \(g\)-expectation
@@ Property / cites work: On Jensen's inequality for \(g\)-expectation / rank @@
+Normal rank
@@ Property / cites work @@
+Jensen's inequality for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions
+Normal rank