Jensen's inequality under nonlinear expectation generated by BSDE with jumps

DOI10.1007/S10255-019-0862-1zbMATH Open1456.60156OpenAlexW2995737258MaRDI QIDQ2300529FDOQ2300529

Authors: Na Zhang, Guangyan Jia 

Publication date: 27 February 2020

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

Full work available at URL: https://doi.org/10.1007/s10255-019-0862-1

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zbMATH Keywords

Jensen's inequalitybackward stochastic differential equation with jumps\(f\)-convexity

Mathematics Subject Classification ID

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

Cites Work

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• A new representation for second order stochastic integral-differential operators and its applications

Cited In (1)

• Jensen's inequality for filtration consistent nonlinear expectation without domination condition

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