Jensen's inequality for g-expectation. II

DOI10.1016/J.CRMA.2003.09.037MaRDI QIDQ1420191zbMATH OpenOpenAlexFDO

Authors Long Jiang, Zengjing Chen, Reg J. Kulperger

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.2003.09.037

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Recommendations

• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for generalized Peng's g-expectations and its applications
• Jensen's inequality for backward stochastic differential equations
• Jensen's inequality for \(g\)-expectation
• On Jensen's inequality for \(g\)-expectation

Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Infinite dimensional analysis. A hitchhiker's guide
• Jensen's inequality for \(g\)-expectation. I

Cited in

(25)

• A necessary and sufficient condition for probability measures dominated by \(g\)-expectation
• \(g\)-variance
• A note on Jensen's inequality for BSDEs
• Jensen's inequality for filtration consistent nonlinear expectation without domination condition
• A result on the probability measures dominated by \(g\)-expectation
• On Jensen's inequality and Hölder's inequality for \(g\)-expectation
• The application of multi-dimensional Jensen's inequality for \(G\)-martingale
• Jensen's inequality for \(g\)-expectations in general filtration spaces
• Stochastic ordering by \(g\)-expectations
• Jensen's inequality for generalized Peng's \(g\)-expectations and its applications
• Generalized Peng's \(g\)-expectations and related properties
• scientific article; zbMATH DE number 2145655 (Why is no real title available?)
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• Maximal inequalities for \(g\)-martingales
• Law of large numbers under the nonlinear expectation
• Jensen's inequality for backward stochastic differential equations
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
• \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications
• Generalized expectation with general kernels on g-semirings and its applications
• Representation theorems for generators of backward stochastic differential equations and their applications
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• Properties of solution of fractional backward stochastic differential equation
• scientific article; zbMATH DE number 2246272 (Why is no real title available?)
• Risk measures via \(g\)-expectations
• Jensen inequality for superlinear expectations

This page was built for publication: Jensen's inequality for \(g\)-expectation. II

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1420191)