Jensen's inequality for g-expectation on semi-positive definite (semi-negative definite) bivariate function

zbMATH Open1174.60382MaRDI QIDQ3609261FDOQ3609261

Authors: Sheng-Wu Zhou, Shengjun Fan 

Publication date: 6 March 2009

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zbMATH Keywords

backward stochastic differential equationcomparison theoremJensen's inequalityconditional \(g\)-expectation\( g\)-expectation

Mathematics Subject Classification ID

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

Cited In (12)

• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• Generalized expectation with general kernels on g-semirings and its applications
• Jensen's inequality for \(g\)-expectation
• Jensen's inequality, moment inequality and law of large numbers for weighted \(g\)-expectation
• Properties of \(G\)-convex function in the framework of \(G\)-expectations
• Jensen's inequality for backward stochastic differential equations
• Quadratic \(g\)-convexity, \(C\)-convexity and their relationships
• Jensen's inequality for \(g\)-expectation. I
• Title not available (Why is that?)
• Jensen's inequality for generalized Peng's \(g\)-expectations and its applications
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion

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