On Jensen's inequality for g-expectation and for nonlinear expectation

DOI10.1007/S00013-005-1440-9MaRDI QIDQ2580945zbMATH OpenOpenAlexFDO

Authors Ying Hu

Publication date 10 January 2006

Published in Archiv der Mathematik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00013-005-1440-9

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Necessary and sufficient conditions are given for Jensen's inequality to hold in the language of Peng's \(g\)-expectation, as well as for `filtration-consistent' (i.e., nonlinear) expectations.

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