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

MaRDI QIDQ3609261zbMATH OpenFDO

Authors Sheng-Wu Zhou, Shengjun Fan

Publication date 6 March 2009

zbMATH Keywords

\( g\)-expectationbackward stochastic differential equationcomparison theoremconditional \(g\)-expectationJensen's inequality

Mathematics Subject Classification ID

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

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(12)

• Jensen's inequality for \(g\)-expectation. I
• Quadratic g-convexity, C-convexity and their relationships
• Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
• Jensen's inequality for g-convex function under g-expectation
• Generalized expectation with general kernels on g-semirings and its applications
• On Jensen's inequality for \(g\)-expectation and for nonlinear 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 generalized Peng's g-expectations and its applications
• scientific article; zbMATH DE number 2145655 (Why is no real title available?)
• Jensen's inequality for g-expectation
• Jensen's inequality for backward stochastic differential equations

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