Jensen's inequality for g-expectation. II

DOI10.1016/J.CRMA.2003.09.037zbMATH Open1031.60015OpenAlexW2916575085MaRDI QIDQ1420191FDOQ1420191

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

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Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation

Cited In (25)

• 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
• Stochastic ordering by \(g\)-expectations
• On Jensen's inequality and Hölder's inequality for \(g\)-expectation
• Generalized expectation with general kernels on g-semirings and its applications
• Jensen inequality for superlinear expectations
• A necessary and sufficient condition for probability measures dominated by \(g\)-expectation
• Title not available (Why is that?)
• A note on Jensen's inequality for BSDEs
• Maximal inequalities for \(g\)-martingales
• \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications
• Risk measures via \(g\)-expectations
• Generalized Peng's \(g\)-expectations and related properties
• Jensen's inequality for backward stochastic differential equations
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• Law of large numbers under the nonlinear expectation
• \(g\)-variance
• Title not available (Why is that?)
• Jensen's inequality for generalized Peng's \(g\)-expectations and its applications
• The application of multi-dimensional Jensen's inequality for \(G\)-martingale
• 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

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