ON JENSENS INEQUALITY FOR g-EXPECTATION
Briand et al. gave a counterexample showing that given g, Jensen's inequality for g-expectation usually does not hold in general This paper proves that Jensen's inequality for g-expectation holds in general if and only if the generator g (t, z) is super-homogeneous in z. In particular, g is not necessarily convex in z.
作 者： JIANG LONG CHEN ZENGJING 作者单位： JIANG LONG(School of Mathematics and System Sciences, Shandong University, Jinan 250100, China;Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, Jiangsu, China)CHEN ZENGJING(School of Mathematics and System Sciences, Shandong University, Jinan 250100, China)
刊 名： 数学年刊B辑（英文版） ISTIC SCI 英文刊名： CHINESE ANNALS OF MATHEMATICS,SERIES B 年，卷(期)： 2004 25(3) 分类号： O1 关键词： Backward stochastic differential equation Jensen's inequality gexpectation Conditional g-expectation Comparison theorem