A note on Jensen's inequality for BSDEs

DOI10.1007/s10114-009-7350-1zbMath1186.60051MaRDI QIDQ1044343

Sheng-Jun Fan

Publication date: 11 December 2009

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-009-7350-1

zbMATH Keywords

backward stochastic differential equations; \(g\)-expectation; Jensen's Inequality

Mathematics Subject Classification ID

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

34F05: Ordinary differential equations and systems with randomness

Related Items

Large sets of pure directed triple systems with index \(\lambda \), Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion

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