Jensen's inequality for generalized Peng's \(g\)-expectations and its applications (Q370129)

Summary: We study Jensen's inequality for generalized Peng's \(g\)-expectations and give four equivalent conditions on Jensen's inequality for generalized Peng's \(g\)-expectations without the assumption that the generator \(g\) is continuous with respect to \(t\). This result includes and extends some existing results. Furthermore, we give some applications of Jensen's inequality for generalized Peng's \(g\)-expectations.