NDLI: Jensen’s inequality for g-convex function under g-expectation

Content Provider	Springer Nature Link
Author	Peng, Shige Jia, Guangyan
Copyright Year	2009
Abstract	A real valued function h defined on $${\mathbb{R}}$$ is called g-convex if it satisfies the “generalized Jensen’s inequality” for a given g-expectation, i.e., $${h(\mathbb{E}^{g}[X])\leq \mathbb{E}^{g}[h(X)]}$$ holds for all random variables X such that both sides of the inequality are meaningful. In this paper we will give a necessary and sufficient condition for a C 2-function being g-convex, and study some more general situations. We also study g-concave and g-affine functions, and a relation between g-convexity and backward stochastic viability property.
Ending Page	239
Page Count	23
Starting Page	217
File Format	PDF
ISSN	01788051
e-ISSN	14322064
Journal	Probability Theory and Related Fields
Issue Number	1
Volume Number	147
Language	English
Publisher	Springer-Verlag
Publisher Date	2009-02-27
Publisher Place	Berlin/Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Jensen’s inequality Backward stochastic differential equation g-Expectation Theoretical, Mathematical and Computational Physics g-Convexity Probability Theory and Stochastic Processes Quantitative Finance Viscosity subsolution Statistics for Business/Economics/Mathematical Finance/Insurance Operations Research/Decision Theory Backward stochastic viability property Stochastic ordinary differential equations Mathematical Biology in General
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Analysis Statistics, Probability and Uncertainty

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Jensen’s Inequality for Backward Stochastic Differential Equations*

On Jensen’s inequality and Hölder’s inequality for g-expectation

Some properties of g-convex functions

A note on Jensen’s inequality for BSDEs

Linear forward-backward stochastic differential equations with random coefficients

Backward SDEs with superquadratic growth

A generalized Neyman–Pearson lemma for g-probabilities

On weak solutions of forward–backward SDEs

Jensen’s inequality for backward SDEs driven by G-Brownian motion

Jensen’s inequality for g-convex function under g-expectation

Similar Documents

Jensen’s Inequality for Backward Stochastic Differential Equations*

On Jensen’s inequality and Hölder’s inequality for g-expectation

Some properties of g-convex functions

A note on Jensen’s inequality for BSDEs

Linear forward-backward stochastic differential equations with random coefficients

Backward SDEs with superquadratic growth

A generalized Neyman–Pearson lemma for g-probabilities

On weak solutions of forward–backward SDEs

Jensen’s inequality for backward SDEs driven by G-Brownian motion

Jensen’s inequality for g-convex function under g-expectation