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

DOI10.1007/S10255-019-0862-1MaRDI QIDQ2300529zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• A new representation for second order stochastic integral-differential operators and its applications
• Backward stochastic differential equations and integral-partial differential equations
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Filtration-consistent nonlinear expectations and related g-expectations
• Jensen's inequality for g-convex function under g-expectation
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for backward stochastic differential equations
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• On solutions of backward stochastic differential equations with jumps and applications
• On the Dirichlet problem for second-order elliptic integro-differential equations
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach
• Viscosity solutions of nonlinear integro-differential equations
• Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result

Cited in

(1)

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

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