Jensen's inequality for generalized Peng's g-expectations and its applications
DOI10.1155/2013/683047zbMATH Open1279.60034OpenAlexW2040480880WikidataQ58916609 ScholiaQ58916609MaRDI QIDQ370129FDOQ370129
Authors: Zhaojun Zong 
Publication date: 19 September 2013
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/683047
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Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99)
Cites Work
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- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
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- Filtration-consistent nonlinear expectations and related \(g\)-expectations
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- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Jensen's inequality for \(g\)-expectation. I
- Jensen's inequality for \(g\)-expectation. II
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- Representation theorems for generators of backward stochastic differential equations and their applications
- On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
- Generalized Peng's \(g\)-expectations and related properties
- Jensen's inequality for backward stochastic differential equations
- Minimax pricing and Choquet pricing
Cited In (15)
- On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
- Jensen's inequality for filtration consistent nonlinear expectation without domination condition
- On Jensen's inequality for \(g\)-expectation
- On Jensen's inequality and Hölder's inequality for \(g\)-expectation
- Generalized expectation with general kernels on g-semirings and its applications
- Choquet expectation and Peng's \(g\)-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 dynamically consistent nonlinear evaluations
- Jensen's inequality for \(g\)-expectation. I
- Jensen's inequality for \(g\)-expectation. II
- The application of multi-dimensional Jensen's inequality for \(G\)-martingale
- Jensen's inequality for \(g\)-expectation on semi-positive definite (semi-negative definite) bivariate function
- On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
- On Hoffmann-Jørgensen-type inequalities for outer expectations with applications
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