On Jensen's inequality for \(g\)-expectation and for nonlinear expectation (Q2580945)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Jensen's inequality for \(g\)-expectation and for nonlinear expectation |
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On Jensen's inequality for \(g\)-expectation and for nonlinear expectation (English)
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10 January 2006
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Necessary and sufficient conditions are given for Jensen's inequality to hold in the language of Peng's \(g\)-expectation, as well as for `filtration-consistent' (i.e., nonlinear) expectations.
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