Jensen's inequality for g-expectation. I
From MaRDI portal
Publication:1420171
DOI10.1016/J.CRMA.2003.09.017zbMATH Open1031.60014OpenAlexW1980174714MaRDI QIDQ1420171FDOQ1420171
Reg J. Kulperger, Zengjing Chen, Long Jiang
Publication date: 28 January 2004
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2003.09.017
Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- Adapted solution of a backward stochastic differential equation
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- A general downcrossing inequality for \(g\)-martingales
Cited In (38)
- Jensen's inequality for \(g\)-expectations in general filtration spaces
- Representation theorems for generators of backward stochastic differential equations and their applications
- On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
- Jensen's inequality for filtration consistent nonlinear expectation without domination condition
- Dynkin game under \(g\)-expectation in continuous time
- Egoroff's theorem and Lusin's theorem for capacities in the framework of \(g\)-expectation
- Backward stochastic differential equations with a uniformly continuous generator and related \(g\)-expectation
- A note on \(g\)-expectation with comonotonic additivity
- A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes
- A limit theorem for solutions to BSDEs in the space of processes
- On Jensen's inequality and Hölder's inequality for \(g\)-expectation
- Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
- Some properties of \(g\)-convex functions
- Jensen inequality for superlinear expectations
- A necessary and sufficient condition for probability measures dominated by \(g\)-expectation
- Lenglart domination inequalities for \(g\)-expectations
- Title not available (Why is that?)
- A note on Jensen's inequality for BSDEs
- A note on \(g\)-concave function
- Maximal inequalities for \(g\)-martingales
- \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications
- Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes
- The application of multi-dimensional Jensen’s inequality for G-martingale
- A relationship between the conditional \(g\)-evaluation system and the generator \(g\) and its applica\-tions
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Towards quantifying the impact of randomly occurred attacks on a class of networked control systems
- Generalized Peng's \(g\)-expectations and related properties
- Jensen's inequality for backward stochastic differential equations
- Jensen's inequality for \(g\)-expectation. II
- Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
- Law of large numbers under the nonlinear expectation
- Jensen's inequality for generalized Peng's \(g\)-expectations and its applications
- Jensen's inequality under nonlinear expectation generated by BSDE with jumps
- Jensen's inequality for \(g\)-convex function under \(g\)-expectation
- Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
- A result on the probability measures dominated by \(g\)-expectation
- On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
- Properties of solution of fractional backward stochastic differential equation
This page was built for publication: Jensen's inequality for \(g\)-expectation. I
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1420171)
