Jensen's inequality for g-expectations in general filtration spaces

DOI10.1016/J.SPL.2020.108958MaRDI QIDQ826705zbMATH OpenOpenAlexFDO

Authors Wenjie Song, Panyu Wu, Guo-Dong Zhang

Publication date 6 January 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108958

zbMATH Keywords

backward stochastic differential equationfiltrationJensen's inequality\(g\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cites work

• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward Stochastic Differential Equations in Finance
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• Jensen's inequality for backward stochastic differential equations
• Jensen's inequality for filtration consistent nonlinear expectation without domination condition
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• Risk measures via \(g\)-expectations
• Well-posedness of backward stochastic differential equations with general filtration

Cited in

(6)

• A note on Jensen's inequality for BSDEs
• Jensen's inequality for filtration consistent nonlinear expectation without domination condition
• Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
• On Jensen's inequality and Hölder's inequality for \(g\)-expectation
• On Hoffmann-Jørgensen-type inequalities for outer expectations with applications
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation

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