Jensen's inequality for \(g\)-convex function under \(g\)-expectation
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Publication:2380767
DOI10.1007/s00440-009-0206-xzbMath1188.60030arXiv0802.0373MaRDI QIDQ2380767
Publication date: 12 April 2010
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0802.0373
\(g\)-expectation; \(g\)-convex; \(g\)-affine functions; \(g\)-concave functions; backward stochastic viability
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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