On Jensen's inequality and Hölder's inequality for \(g\)-expectation

DOI10.1007/s00013-010-0117-1zbMath1203.60024MaRDI QIDQ974648

Guangyan Jia

Publication date: 4 June 2010

Published in: Archiv der Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00013-010-0117-1

zbMATH Keywords

Jensen's inequality; backward stochastic differential equations; \(g\)-expectation; Hölder's inequality; Minkowski's inequality; non-linear expectation

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

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

26D10: Inequalities involving derivatives and differential and integral operators

Uses Software

• Coq

Cites Work

• Unnamed Item
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• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time