Some properties of \(g\)-convex functions

DOI10.1007/s11425-013-4603-3zbMath1290.60060OpenAlexW2107212763MaRDI QIDQ2441132

Xiaojuan Li

Publication date: 21 March 2014

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-013-4603-3

zbMATH Keywords

Jensen's inequality\(g\)-expectationbackward stochastic differential equation\(g\)-convexity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

A note on \(g\)-concave function

Cites Work

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• Risk measures via \(g\)-expectations
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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