Jensen's inequality for generalized Peng's g-expectations and its applications

DOI10.1155/2013/683047MaRDI QIDQ370129zbMATH OpenOpenAlexWikidataFDO

Authors Zhaojun Zong

Publication date 19 September 2013

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/683047

zbMATH Keywords

Jensen's inequalityPeng's \(g\)-expectations

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99)

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Cites work

• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Adapted solution of a backward stochastic differential equation
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Generalized Peng's \(g\)-expectations and related properties
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• Jensen's inequality for backward stochastic differential equations
• Minimax pricing and Choquet pricing
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• Representation theorems for generators of backward stochastic differential equations and their applications
• \(L^p\) solutions of backward stochastic differential equations.

Cited in

(16)

• Jensen's inequality for \(g\)-expectation on semi-positive definite (semi-negative definite) bivariate function
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• Jensen's inequality for filtration consistent nonlinear expectation without domination condition
• On Jensen's inequality and Hölder's inequality for \(g\)-expectation
• The application of multi-dimensional Jensen's inequality for \(G\)-martingale
• On Hoffmann-Jørgensen-type inequalities for outer expectations with applications
• Jensen's inequality for \(g\)-expectations in general filtration spaces
• Jensen's inequality, moment inequality and law of large numbers for weighted \(g\)-expectation
• Jensen's inequality for dynamically consistent nonlinear evaluations
• Properties of \(G\)-convex function in the framework of \(G\)-expectations
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
• Generalized expectation with general kernels on g-semirings and its applications
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• On Jensen's inequality for \(g\)-expectation
• Choquet expectation and Peng's \(g\)-expectation

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