Jensen's inequality for backward stochastic differential equations

DOI10.1007/S11401-005-0077-0zbMATH Open1109.60042OpenAlexW2082828702MaRDI QIDQ867437FDOQ867437

Authors: Long Jiang 

Publication date: 15 February 2007

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11401-005-0077-0

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Mathematics Subject Classification ID

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

Cites Work

• Ambiguity, Risk, and Asset Returns in Continuous Time
• Adapted solution of a backward stochastic differential equation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Title not available (Why is that?)
• 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
• On Jensen's inequality for \(g\)-expectation
• A general converse comparison theorem for backward stochastic differential equations
• A property of \(g\)-expectation

Cited In (18)

• Jensen's inequality for \(g\)-expectations in general filtration spaces
• Jensen's inequality for filtration consistent nonlinear expectation without domination condition
• On Jensen's inequality and Hölder's inequality for \(g\)-expectation
• Jensen's inequality for \(g\)-expectation
• A note on Jensen's inequality for BSDEs
• A note on \(g\)-concave function
• \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications
• Moment inequality and Hölder inequality for BSDEs
• Representation theorem and viability property for multidimensional BSDEs and their applications
• Jensen's inequality for \(g\)-expectation. II
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• Title not available (Why is that?)
• Jensen's inequality for generalized Peng's \(g\)-expectations and its applications
• Jensen's inequality under nonlinear expectation generated by BSDE with jumps
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
• Functional inequalities for forward and backward diffusions

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