A note on Jensen's inequality for BSDEs (Q1044343)
From MaRDI portal
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